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Linking up a math library

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What is the best way to incorperate a math library? My problem is I want a library accessible from both EXE projects and DLLs. Should I build it into a DLL but if so, how should I access the vectors, matricies etc? I would have thought creating an object from a class and returing its pointer would be rather expensive. Currently I have used a static library but I have had errors accessing functions written in cpp files when I link the lib to a DLL project. I was also wondering if there was any way to simply include a library and not having to worry about including the headers all the time. Isn''t there any way to do this? Thanks.

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