In single-platform scenario, default project configurations created by Visual Studio (Debug and Release) are sufficient. For multiplatform development, a suggested step is to create separate configurations for each platform. This will allow you to switch between platforms (and their individual settings) easily.
In order to add new configurations, open the Configuration manager dialog.
Note that there is Platform setting in the dialog. Unfortunately you can not use it for its intended purpose (select a platform), as Visual Studio does not provide any documented way to add custom platforms. You can select only predefined platforms. This is a known problem in Visual Studio 2005 and 2008. According to the documentation, VS 2010 offers some possibilities to extend this list, however current WinGDB version does not support it yet.
Currently recommended practice is to add new configurations for each platform (e.g. Debug Linux, Release Linux). Leave "Win32" as the platform name. After adding needed configurations, make sure that one of them is selected in Visual Studio. Now you can configure WinGDB settings using either Project configuration wizard or Properties dialog. These settings will affect only the currently selected configuration.