AFAIK, you don't need to have a cpp file to create a precompiled header.
Put in precomp.h:
#include "wx/wx.h"
and compile this to precompiled header using:
mingw32-g++ [flags_go_here] -c precomp.h -o precomp.gch
// The compilation flags **must** be the same with those that were used to compile the project
This will create precomp.gch which is a precompiled header.
In your projects just include precomp.h as usual. According to the GCC manual, if a .gch file is found, it is used instead of the .h file...
HTH,
Yiannis.