You might be starting to get the feeling I'm spamming with releases, I like to think of it as catching up.
What I bring now is a small gem. It is a package that includes a Clang build coupled with a GCC with libstdc++ that actually work well together. C++ exception handling works as far as I can tell, which is a welcome improvement over all my previous attempts.
Note that the GCC in this package uses a different underlying mechanism for C++ exceptions, namely dwarf2, which is incompatible with the usual MinGW-w64 sjlj stuff. So don't mix the two. Otherwise everything should be nicely functional.
In case of problems, let me know.
PS: Download link: