Here is a guide on Vim C# compiling.
In response to the comments –
It sounds like your goal is to have a fully functional IDE that works cross platform for C# development, not necessarily to use VIM. If that’s the case, you can use MonoDevelop on all platforms (including Windows, but that’s a bit trickier), and since you’re probably already using the mono compilers on your other platforms, this might be a nicer option.