I've had good success using the Boost "in a subdirectory" recipe,
which builds only the parts I need. This is on linux/mac with gcc and
make, so YMMV, but I think the relevant parts of my CMake file are:

Sweet all I need to do is switch to Linux... this is now reason 10463 on my reasons to switch OS's. :-)

# Variables to configure how boost is built
# If we need more libraries add them to the BUILD_PROJECTS variable
set(BUILD_TESTS 0 CACHE INTERNAL "")
set(ENABLE_SHARED 1 CACHE INTERNAL "")
set(ENABLE_STATIC 1 CACHE INTERNAL "")
<set a few more config options>

Above are set by default so I do not think this is a problem in my system.

set(BUILD_PROJECTS date_time program_options filesystem system regex
CACHE INTERNAL "")

I tried this set(BUILD_PROJECTS thread filesystem ... ) on Windows and ended up with a phantom boost_filesystem project... weird ... see my post above, but I did get thread (the first item in the list) I will verify this again.

...
# Exclude boost libs from the all target, they will be built
# as dependencies of other targets that require them.
add_subdirectory(vendor/boost/boost EXCLUDE_FROM_ALL)
...

maybe I need to use the EXCLUDE_FROM_ALL I will try this.

include_directories(${project_SOURCE_DIR}/vendor/boost/boost)
...

In my subprojects' CMakeLists.txt files, I then add dependent
libraries as required:
target_link_libraries(target_name boost_program_options-static
boost_regex-static)

Thanks for the target_link_libraries syntax I was wondering what to put for this I was trying multiple variants.