I just generated a solution for very similar build requirements. Here's a pretty thorough story of what I did:
1. Open CMakegui, and point to the source code and binary build directories. The source dir is the local svn repo, and the build is just some new folder the projects/solution will be dumped to.
2. Make sure you have the "Grouped" and "Advanced" checkboxes checked.
3. In the "Use" group, make sure USE_DOUBLE_PRECISION is checked off.
4. Check off other stuff/provide paths for options you want. Just make sure to look through each group to make sure you don't miss anything.
5. Click configure to run a few iterations, watching for red sections @ the bottom panel. Try to correct what you can if you missed a checkbox/path.
6. Click "Generate," and projects/solution file will be dumped to the directory specified in step 1.
In the generated project, the default "Rebuild Solution" will simply build the libs to the output dir, but won't install them to the install dir. There's a separate project you can build for installing the libs.
I'm pretty sure the default Debug and ReleaseWithDebInfo build configurations will dump the symbols along with the libs. Not sure about the performance differences, though, sorry.
Good luck. I hope this helps at least someone!