Convert factory methods to return smart ptrs

- Convert factory methods to return smart ptrs.
 - Refactor state machine to use same thread for user states.
 - Remove unused includes and dependencies, use std.

fairmq/FairMQPoller.h

@@ -16,6 +16,7 @@
 #define FAIRMQPOLLER_H_
 
 #include <string>
+#include <memory>
 
 class FairMQPoller
 {
@@ -29,4 +30,6 @@ class FairMQPoller
     virtual ~FairMQPoller() {};
 };
 
-#endif /* FAIRMQPOLLER_H_ */
+using FairMQPollerPtr = std::unique_ptr<FairMQPoller>;
+
+#endif /* FAIRMQPOLLER_H_ */