when cross-compiling a package, do you also cross-compile the dependencies or just install the dependencies, and then cross-compile the final package for my target embedded Linux device? 
Do you cross-compile the dependencies of a package or just perform install?
compiling;dependencies
You need to cross-compile all the dependencies: every piece of code linked to the final binary (whether statically or dynamically) needs to be built for the target platform.Depending on the platform (and distribution) you're building on, and the target platform, you might find your cross-dependencies are already available in your distribution.