With new meson build system, it should be easier. I'll plan to simplify process a bit more, but for now the process is following:
1. Install CUDA and Cudnn (I used 9.0 but any should work. No integration with MSVS needed)
2. Install MSVS (I used 2015 but 2017 should also work)
3. Install python3
4. Install meson: "pip3 install --upgrade meson"
5. Edit lc0/build-cuda.cmd
(change paths to your cuda and cudnn files, and update visual studio path and version if it's not 2015 or installed in different location)
6. Run build-cuda.cmd
It will generate msvs project, then pause (hit enter), then build.
7. It should have lc0 built.