When you add a new cpl, the wine build system does this for you.

So my question is: can I just build one cpl? Or do I need to re-build the entire wine every time I want to test a particular cpl?

If I can just build one cpl, how should I build (compile) it and let the existing wine recognize it?

git has a web interface with a history and the first commit for inetcpl.cpl is a minimalistic control applet.
( http://source.winehq.org/git/wine.git/history/HEAD:/dlls/inetcpl.cpl )