Sometimes a cross-compile environment can be very handy. Sam Lantinga form the libsdl.org project made a shell script (build-cross.sh) that makes it very easy to setup an GCC cross-compile environment for MinGW.
I used the follwing changes for the script:
GCC_VERSION=3.4.2-20040916-1BINUTILS=binutils-2.15.91-20040904-1MINGW=mingw-runtime-3.3W32API=w32api-2.5
The EXE-files are a little bit large in size, but when you strip them the size is reduced drastically.