Not sure what you mean by OnDestroy. The standard way of doing this is to bind a <Destroy> event on a passive widget (such as a label) on your main window. Don't bind the main window itself, as all subwidgets will inherit the binding; that way leads to much confusion and many bugs.

If you don't mind the cleanup happening after the main window is destroyed, you can always put the cleanup code after MainLoop, so it won't get called until MainLoop returns.