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size_t num = 5;
//Take care! Do we need to define our own delete function? I'm unsure.
auto delete_lambda = [](wchar_t* f) { delete[] f; f=nullptr;};
std::vector<std::unique_ptr<wchar_t[], decltype(delete_lambda)>> p;
p.reserve(num);
for (size_t i = 0; i < num; ++i)
{
p.push_back(std::unique_ptr<wchar_t[], decltype(delete_lambda)>(new wchar_t[256](), delete_lambda));
}
//Access
p[4][56] = L'e';
However, I would say that you provided too little information about the indented usage. For cases where the array is constructed at once and treated as a read-only, good old vector<wstring> or vector<array<wchar_t, 256>> may be good enough.