Well, actually I gave it a first try not that long ago, and I actually found it really easy to cross-compile and package my first application from Linux for Window using cmake. If you have to hack around like you describe, I suspect you're actually taking the wrong approach to begin with.
On the other hand, the cmake systems for all the dozens of dependencies I used in that case had been tested in KDE's wonderful emerge project beforehand, and that helped a lot.