bpo-18859: Document --with-valgrind option in README.valgrind (#10591)

diff --git a/Misc/README.valgrind b/Misc/README.valgrind
index 908f137..b483b2e 100644
--- a/Misc/README.valgrind
+++ b/Misc/README.valgrind
@@ -2,6 +2,10 @@
 Python.  Valgrind is used periodically by Python developers to try
 to ensure there are no memory leaks or invalid memory reads/writes.
 
+If you want to enable valgrind support in Python, you will need to
+configure Python --with-valgrind option or an older option
+--without-pymalloc.
+
 UPDATE: Python 3.6 now supports PYTHONMALLOC=malloc environment variable which
 can be used to force the usage of the malloc() allocator of the C library.
 
@@ -46,6 +50,10 @@
 the supplied suppressions file will not be useful.  As discussed above,
 disabling PyMalloc can catch more problems.
 
+PyMalloc uses 256KB chunks of memory, so it can't detect anything
+wrong within these blocks.  For that reason, compiling Python
+--without-pymalloc usually increases the usefulness of other tools.
+
 If you use valgrind on a default build of Python,  you will see
 many errors like: