Why VirtualAlloc?

Lua has its own allocator, which will also collect for you. lua_newuserdata. At the expense of having to set executable yourself, but without all the inbuilt inefficiencies the article points out.

Can you set arbitrary memory allocated by malloc (e.g. HeapAlloc in Windows) to executable, via VirtualProtect or something else? If so, that's news to me. I thought it had to be memory allocated by VirtualAlloc only.

That said, I'm not sure that solution beats out this one. I'm using a linked list on top of an arena allocator in practice, which means allocations happen once every 0x10000 bytes. (A single C closure of mine takes up exactly 16 bytes, which includes the pointer to the next linked list node. I'm very happy with how it's designed.)