Linux has a console (terminal) as well. It works similarly as it does windows side, with some exceptions of course. But, for simple SFML games and such, you shouldn't need to change your code much (if at all). You'll just launch a terminal with the game (if you're using an IDE, this should be done automatically. If not, you will need to compile a little differently). Most of mine compile just fine on either OS. Linking your libraries may be slightly different on each platform, but otherwise you shouldn't run in to too much trouble. Depending on whether you're using static or dynamic libraries, and depending on the library, you'll likely need to substitute in the correct library files(i.e. download the linux SFML files and then link them for linux before you compile there)
I don't generally do much on windows these days though, so perhaps someone has better advice. But, for simple games, I know everything I compile on Linux compiles just fine on Windows as well with C++, OpenGL, and SFML.
But, perhaps just try making something simple and then cross compiling with your other OS and see how it goes. If you haven't cross compiled before, I find the simplest way (at least for small games) is just to take the same code, log over to your other OS, open it up with whatever IDE you use, and try to compile it there. I generally get a few library errors that are generally easy enough to sort out, but that's about it.
But, again, I'm pretty inexperienced with developing for windows, so perhaps someone will come along with more complete advice 
