Depends on the project. For most of them you wouldn't need to build an executable.
I've been trying various approaches to this problem myself but haven't converged on the best cross platform solution yet:
* http://www.aerique.net/software/etotp/ (needs a nice index page)
* http://github.com/aerique/okra (see examples)
The Lispbuilder-SDL people have been working on this as well:
* http://code.google.com/p/lispbuilder/wiki/StandAloneExecutab...
If I could spare the money I'd try out LispWorks (you'd have to pay for each seperate platform IIRC).
I partly agree with the size considerations but only for mobile platforms. What's 20mb for a normal machine?