You want to use in the decleration:
MyClass* object
Also, if you are going to use new MyClass make sure you use delete object to avoid leaks. 
i.e.
Entity::Entity() { object = NULL; } //constructor
Entity::doTest(stuff) {
    delete object;
    object = new MyClass(stuff);
}
//Following rule of three, since we need to manage the resources properly
//you should define Copy Constructor, Copy Assignment Operator, and destructor.
Entity::Entity(const Entity& that) { //copy constructor
    object = that.object; 
    //assumes you've correctly implemented an assignment operator overload for MyClass
}
//invoke copy and swap idiom* if you wish, I'm too lazy
Entity& Entity::operator=(const Entity& source) {
    MyClass* temp = new MyClass(source.object)
    //assumes you've correctly implemented an copy constructor (or default one works) for MyClass.
    delete object;
    object = temp;
    return *this;
}
Entity::~Entity() {   //destuctor
   delete object;
}
You should avoid dynamic allocation if it is at all possible.  You should also use smart pointers (like std::shared_ptr) but if you do wish to use raw pointers, then abide by the rule of three.  
*copy and swap idiom