This isn't a typical process, so there's no documents giving a step-by-step for this, but i'll try and give you a breakdown of the process.
This will create a new plugin to add to your GameSDK so you can add some custom code like flowgraphs/components/etc. Know that this won't give you access to the Source Code, so you won't have full access to the GameSDK libraries you might want.
First, you'll want to create a Code folder inside your project's root.
Right click your game.cryproject and open in a text editor, adding the name of the Code folder to the code brackets.
I suggest creating a blank template project for this next part, and copy pasting the contents of its code folder to the GameSDK Code folder (the cmake/StdAfx/plugin files) so you don't have to write all the boiler plate stuff.
Right click the cryproject and generate solution.
Go into visual studio and build the solution (preferably in profile mode instead of debug).
This should create a Game.dll file in your bin/win_x64 file. Add this path to your cryproject in a text editor under native plugins (use pre-existing inclusions as an example).
There you go. If done correctly, you should have a new plugin that you can write code in to add to your GameSDK project.