Add checks on CRYPTO_new_ex_data return value...

with some adaptation to new multi-threading API.

Once reference, lock, meth and flag fields are setup,
DSA_free/DH_free can be called directly.

Reviewed-by: Richard Levitte <levitte@openssl.org>
Reviewed-by: Rich Salz <rsalz@openssl.org>
(Merged from https://github.com/openssl/openssl/pull/996)