well, the way things normally go is:
- develop the game on windows
- publish/compile it
- try to get the compiled project running on linux

what does the console say when you try to start wed/sed? what GPU do you have?
ever tried VirtualBox? it's a virtual machine that can make you run windows in a window inside linux. it's slower of course, but a more complete solution than wine.

ps: you can get a 80GB hard drive for under $30.