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Hmmm... Most iOS devs I see here use their Macs, not OSX VMs running on Windows/Linux PCs.

Well I might give it a try, anyway...

For one, OSX in a VM is a bit tricky. Also it's expressly illegal to run OSX in non-Apple hardware, at least with its standard license.

"Illegal" is not a correct word. It infringes on Apple's EULA, and is at most copyright infringement.