The key point is that we're not going to run sshd as a service via cygrunsrv or anything, but that we're going to start it directly as the desktop user.
- install cygwin (the x86 version currently has more packages, such as zsh. oh-my-zsh works by the way)
- install ssh and if you like some helper programs (git, mc, wget, curl, nano, vim, rsync, zsh, ...)
- start cygwin, I don't believe it is necessary to run as administrator with my method, but I guess it can't hurt
- execute the same script as a normal sshd setup:
$ ssh-host-config