After half day of playing with Wine, MinGW and friends, I managed to be able to automatically build Windows versions of both python-gammu and Wammu. However I do not have environment to actually test these versions (except for Wine), so I would really welcome if some Windows users could do some testing. I expect some strange crashes at beginning, but hopefully we will be able fix it to produce working Wammu version for Windows in future.
You can get the installer here: http://tmp.cihar.com/wammu-0.26-setup.exe
It's NOT final or stable version, but as the only changes which happened since last release were either minor or related to cross compilation, it should be equal to combination of Gammu 1.16.0, python-gammu 0.24 and Wammu 0.25, so don't be confused by versions.
PS: Okay, when application works in Wine, it does not mean it will work in Windows, see bug report for details.