Here's an alternative, that uses the compiler's dead code removal:
#define DEBUG(msg) if (!DEBUG_ENABLED) {} \
                   else dbglog() << __FILE__ << ":" << __LINE__ << " " << msg
#ifdef DEBUG_FLAG
#define DEBUG_ENABLED 1
#else
#define DEBUG_ENABLED 0
#endif
The dbglog instance is a ostream wrapper that detects if the log line ended with a newline or not. If not, it adds one.
struct dbglog {
    std::ostream &os_;
    mutable bool has_endl_;
    dbglog (std::ostream &os = std::cerr) : os_(os), has_endl_(false) {}
    ~dbglog () { if (!has_endl_) os_ << std::endl; }
    template <typename T> static bool has_endl (const T &) { return false; }
    static bool has_endl (char c) { return (c == '\n'); }
    static bool has_endl (std::string s) { return has_endl(*s.rbegin()); }
    static bool has_endl (const char *s) { return has_endl(std::string(s)); }
    template <typename T>
    static bool same_manip (T & (*m)(T &), T & (*e)(T &)) { return (m == e); }
    const dbglog & operator << (std::ostream & (*m)(std::ostream &)) const {
        has_endl_ = same_manip(m, std::endl);
        os_ << m;
        return *this;
    }
    template <typename T>
    const dbglog & operator << (const T &v) const {
        has_endl_ = has_endl(v);
        os_ << v;
        return *this;
    }
};
Now, you can add a simple message like this (note, the newline is optional):
DEBUG("A simple message");
DEBUG("A simple message with newline\n");
DEBUG("A simple message with endl") << std::endl;
Or, if you want to add more debugging information:
DEBUG("Entering: ") << __func__ << ", argc=" << argc << ", argv=" << argv;
//...
DEBUG("Leaving: ") << __func__ << std::endl;