I think that cross compilation is often overvalued.
You should be able to test all targets to which you want to distribute your application. You wouldn't offer untested binaries, would you?
And for proper testing, you need to install all OS-s which your application targets (on either real or virtual machine).
Then, when you have another OS installed anyway, isn't it better to install the IDE there and compile your application there natively?
Having said that, I'm not saying that you might not need it sometimes after all -- there are targets where Lazarus IDE cannot be installed, so development must be done on another OS, but if the IDE can be installed, better avoid cross compiling.
So, think well if you really need it -- (apart from 32-bit to 64-bit on Windows, which is a simple setup on plain Lazarus distribution), cross-compiling between main OS-s (Linux, Windows, OSX) is hardly ever needed.