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/FairMQSocket.h

@@ -17,6 +17,7 @@
 
 #include <string>
 #include <vector>
+#include <memory>
 
 #include "FairMQMessage.h"
 
@@ -68,4 +69,6 @@ class FairMQSocket
     virtual ~FairMQSocket() {};
 };
 
+using FairMQSocketPtr = std::unique_ptr<FairMQSocket>;
+
 #endif /* FAIRMQSOCKET_H_ */