I want to reply to my own question just to update this post.
Sorry if i'm writing only after many days of silence, i readed all the suggestion and i want to say thanks to everyone!

I've experimented further with the integration of the library (and with many other things), i successfully used "Method 2" but i like to maintain my project as clean as possible so i didn't like that my folder/file tree was filled by numerous header and source file.

I ended up compiling the library into a shared library .so in my case and use it in my project in a much cleaner way (imho) basically using only dll and header file.
Warning keep appearing but for now it's fine like this.