You can probably take a 'Before Heap Size', instantiate your object, and then take an 'After Heap Size'...maybe?
So using the Java Runtime object from CF:
runtime = CreateObject("java","java.lang.Runtime").getRuntime();
freeMemoryBefore = runtime.freeMemory();
//Create Object here
freeMemoryAfter = runtime.freeMemory();
memUsedByObject = freeMemoryBefore - freeMemoryAfter;
May also need to do Garbage collection before and after to ensure accurate results.
Let me know if that actually works cos have not personally tried it! ;-)