Later, should I free combobox1.items.objects?
If they would be real true objects that you've created at run-time then yes (*). For your example code (integer numbers casted as TObject), no.
If yes, how can I do that?
combobox1.Items.Objects[i].Free
edit (*)
That is, if you want to. In case you use an array (as in your example but instead) of type TObject, and you've created/stored the object pointers in this array then you do not have to use the combobox to free the items but can also use the array with object pointers instead.
ps: note that you have declared a dynamic array but haven't set its size at runtime. Therefor the code that you showed doesn't make much sense.