So I tried the generator and it seems to be working. I also found out that you don't really need anything special for C++ to work with pico-sdk, it's already set up and they just don't advertise it much. Just add your .cpp files in CMakeLists.txt and it picks them up. Maybe there will be problems later on but so far it's just like that.

The generator is also a good reference of configuration options, like how to disable/enable exception handling etc.