Oh the pain, getting a working GCC for Windows.

build your own?

Building is a fun experience, or a no-fun experience, depending on how you look at it. I've spent literally weeks of time building GCC successfully and unsuccessfully (native and cross). Follow the instructions to the letter, and it works. And then, another day, it doesn't work (with the slightest different sub-sub-release or revision, or the tiniest little change that is entirely "harmless", or to the best of your knowledge no change at all, and you never get it to build again).
Save everything you've done (copy console), keep the build tree, and repeat the build (paste text) 6 months later after first doing a svn update. Compiles fine for 15-20 minutes, then fails. Start from scratch, and spend a day or two until it works, and you cannot tell why it works now.
Use a build script by someone who offers binary builds (so the assumption is that it must work, otherwise where do the binaries come from). The build script more or less does exactly what you've done by hand anyway, and it works, or maybe doesn't work. If you are only interested in actually having a compiler that works for compiling under Windows, and not in spending your life fiddling around, that's not a lot of fun.

use a pre-built binary?

There exists serval binary distros from a variety of sources.

Although downloading binaries is of course always a tidbid risky (even when scanning everything before you run it, malware scanners are nowhere near perfect, or even good or halfway reliable), compilers are particularly high-risk. That's because compilers are a very interesting target for malware distributors as they get free redistribution with everything you build.
I've actually seen GCC builds with malware built-in on apparently harmless sites (forgot the name, but one such example was a site offering GCC builds for several architectures, which looked very nice).

Now... there exists a distro which supports GCC 9.2 since some time built by someone under the pseudonym "nuwen".
It turns out, that "nuwen" is actually Stephan T. Lavavej, so... chances are that this is a distro that you actually want to use (I'm using it anyway). It's unlikely that you will be able build one yourself that's substantially better (also that one has a lot of useful support libs already coming with it), and it's unlikely that it is harmful.

https://nuwen.net/mingw.html

Note that MSYS2 will also allow you to install a very recent GCC (9.1 or 9.2, not sure) via pacman, very fast and very trouble-free. MSYS2 is nice insofar as you get a 95% working Unix-like working environment with 95% of the tools.
And 95% of the time, it works fine in every practical respect. Until then, one day, it doesn't, usually related to some configure script messing up pathnames, or something with environment variables. Or something else very subtle. For example, it is very much possible to successfully build GCC with MSYS2 (I've done it), and it works "perfectly fine" until some weeks later you discover that something doesn't work in your custom build, so some old project of yours now suddenly doesn't build any more when it did with the old stock compiler.
That's probably issues that one could fix, if determined (I'm however too lazy, for me a compiler is something that simply must work).