Thanks to CMake, it's part CPack and a bit of my hacking, I can now easily produce installers for Gammu on Windows. I haven't much tested result, but it installs and uninstalls fine and Gammu seems to be working.
How it is done? Eveything on Linux. All you need is small patch on CPack to allow using NSIS also on Linux. If you have this one, just download Gammu, cross compile it and start CPack. Everything is so easy:
mkdir build-mingw cd build-mingw cmake .. -DCROSS_MINGW=ON make cpack
And you will get Gammu installer for Windows (please note that this is not even testing release, it's more some kind of snapshot of my development tree, so it does not have to be release quality).