That's a neat technique, HS2. I do it a bit differently:
In the tools|build dialog I have the command line set to "o:\cygwin\bin\make" (which could, of course, have any command parameter included - "make all" "make clean isntall" etc). To get the environment set up correctly I click the advanced button and then double-click to add an entry of "Set PATH=/opt/ppctools/tools/bin:/usr/local/bin:/usr/bin:/usr/sbin:/bin:/sbin". The opt/ppctools/tools/bin is where my cross compiler lives, and the rest just makes sure Cygwin and its tools can find themselves. No Windows path is needed (and can break a compile due to its length).
I think this is cleaner because once the environment is set you can do on the command line any command line stuff (which can be a bit tricky from a script sometimes). The main drawback is remembering to set the environment for each tool - build, rebuild, compile, etc.