To me the "natural way" has always been to write portable code in the first place. From time to time, you'll find that parts of it are not portable, so you fix it, and along that way to learned something new about portability and apply it to future improvements on your code as well. Over time, you'll find fewer and fewer portability issue as you get better and better at writing portable code in the first place.

I'm not saying that this is the best way to do this, but to me this was always the obvious thing to do. As a somewhat extreme example, I'd never write a graphical user interface in pure Win32 API and expect it to be even remotely portable by some additional layer. I'd rather use Qt (or GTK, or Dear ImGui, or whatever) for native UIs even for programs that are (for now) meant to be only run on Windows.

To me personally, this has the additional benefit that I can do most of the development and testing in a non-hostile environment (e.g. Debian), then running a cross compiler (e.g. via MXE) and only do the final testing on Windows (well, usually first Wine, then some Windows VM), but at that last stage surprises are extremely seldom.