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If we are running Windows, we can use WSL to have access to a fully-fledged Linux environment, and then we can do the steps above. In case we don't want to use WSL or for some reason, we can't use it, we will have to do a cross-build to Linux. I tried the steps above from Windows, but at each attempt, I was running into a linker issue (error: linker cc not found). I am sure that are several ways to solve this, what I found to be the easier solution is to use cross. Before somebody screams at me... I know this solution is kind of a band-aid since cross will rely on Docker to target different environments...but hey, it worked for my purpose.
The whole Lambda project can be found on GitHub.