Water – Boiler losing pressure only when central heating is on, and only a little, leak

You could rent one of those infrared cameras from your local big box store. Using this to look in the walls and ceilings might help in locating the leak, depending on how big of a leak it is.

When the boiler is running (especially in heating rather than hot water mode) watch the pressure gauge: does it rise almost all the way to maximum? And do you then get a sudden discharge of hot water through the pressure relief discharge (PRD) valve and pipe to the outside of the building? (If the boiler is mounted on an external wall the PRD pipe usually goes directly through the wall behind the boiler.)

If so this is where you're losing water (and hence pressure). It indicates that the expansion vessel (probably built-into the boiler) is faulty. It may just have lost pressure (there's a Schraeder(sp?) car-tyre-style valve you can use to top it up) but could have failed entirely (e.g. if water comes out of the air valve!). For expansion vessels built into boilers it's often more trouble and expense than it's worth to replace the fitted one and quite acceptable to fit a vessel externally.

The uk.d-i-y usenet newsgroup is generally a good place to discuss this sort of problem. There is also a wiki/faq at http://wiki.diyfaq.org.uk/