Linking Intel's Math Kernel Library (MKL) to R on Windows

Using an alternative BLAS for R has several advantages, see e.g. https://cran.r-project.org/web/packages/gcbd/vignettes/gcbd.pdf.

Microsoft R Open https://mran.revolutionanalytics.com/documents/rro/installation/#sysreq is using Intel's MKL instead of the default Reference BLAS to speed up calculations.

My question is:

What would be the exact steps to link Intel's MKL library **manually to R**'s most recent version on Windows (https://cran.r-project.org/bin/windows/base/)?

UPDATE 20-07-2016: Here is very detailed description on how to build a OpenBLAS-based Rblas.dll for 64-bit R for Windows for R ≥ 3.3.0: http://www.avrahamadler.com/r-tips/build-openblas-for-windows-r64/