perf script: Fix possible memory leaks

perf script: Fix possible memory leaks

Some paths in perf script don't call perf_session__delete() after
creating a new session.

Signed-off-by: Namhyung Kim <namhyung@kernel.org>
Acked-by: Jiri Olsa <jolsa@kernel.org>
Cc: Adrian Hunter <adrian.hunter@intel.com>
Cc: David Ahern <dsahern@gmail.com>
Cc: Ingo Molnar <mingo@kernel.org>
Cc: Jiri Olsa <jolsa@redhat.com>
Cc: Minchan Kim <minchan@kernel.org>
Cc: Namhyung Kim <namhyung.kim@lge.com>
Cc: Paul Mackerras <paulus@samba.org>
Cc: Peter Zijlstra <a.p.zijlstra@chello.nl>
Link: http://lkml.kernel.org/r/1407825645-24586-2-git-send-email-namhyung@kernel.org
[ Saved errno value before calling perror(), as pointed out by Adrian Hunter ]
Signed-off-by: Arnaldo Carvalho de Melo <acme@redhat.com>