C++11 lambdas will be good for this, but until everyone has a C++11 compiler it’s not something I can really use in the library. You could use lambdas yourself though, if you’re only targeting a modern compiler.
You could write a little re-usable class yourself that would do that - in my callback code I was just trying to keep things more flexible, I didn’t want to have specialised classes for all the possible things you could use it for.