I've been implementing a high level modern c++ wrapper for zeromq as part of 
the Open-Transactions project.

Our design goals probably differ from what you're doing with cppzmq, but some 
of the features we've added might be useful for an insipration or two.

* Seperation of interfaces from implementation and use of the Pimpl idiom to 
provide ABI compatibility
* Wrapper classes for libzmq types implement conversion operators so they can 
be passed directly to libzmq functions if needed
* Automatic creation of polling loops that pass received messages to lambdas 
provided at construction time
* Custom iterators for multipart messages that are compatible with ranged for 
loops. You can construct a ranged for loop over the routing frames, or over 
the messge body, or over every frame

Interface headers:
https://github.com/Open-Transactions/opentxs/tree/develop/include/opentxs/
network/zeromq

Implementation classes:
https://github.com/Open-Transactions/opentxs/tree/develop/src/network/zeromq

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