Answer your first question ("Should I ..."): it depends mainly on your development environment. If you work exclusively with Linux, itโs nice to set up a cross-compiler and create Windows applications on Linux.
The answer to the second question ("Is it ..."): Yes, it is - using a cross-compiler capable of the Windows platform.
Both GDC and LDC can be built in such a way that they can focus on Windows 32bit or 64bit directly from your Linux box. You can find hundreds of resources on this topic on the Internet. Writing a tutorial on how to build a GDC cross-compiler takes a lot of time, but if you somehow donโt do it yourself, Iโll write a simple step-by-step guide on how to do this.
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