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1) Go to the Chocolate Doom site, download, and extract Chocolate Hexen to the folder of your choice.

2) Copy both hexen.wad and hexdd.wad from your GOG installation into your new Chocolate Hexen folder in the same directory as the Chocolate Hexen executable, known as chocolate-hexen.exe.

3) Create a windows shortcut to Chocolate Hexen. Right-click and drag the Chocolate Hexen executable icon, then move it anywhere in the folder. You'll get a menu where one of the options is "Create Shortcut Here". Select "Create Shortcut Here".

4) Once you have done that, right click on the shortcut and select "Properties".

5) In the new menu that appears, select the "Shortcut" tab.

6) In the "Target" field, type the following text after chocolate-hexen.exe, starting with a single space after the closing quotation mark:
-file hexdd.wad
Your target field should look similar to this:
"\path\to\chocolate-hexen" -file hexdd.wad
Your target field should look similar to this (of course, wherever it was you installed Chocolate Hexen, since I don't know where it is located on your PC. "\path\to\chocolate-hexen" is just a placeholder for Chocolate Hexen's location on your system.)

7) Press OK to save your changes.

8) Double click on your new Deathkings shortcut and Deathkings will now open. Also make sure to name your new shortcut accordingly so that you can find it.

Also important:

To set up your controls, open chocolate-hexen-setup.exe and configure your controls however you want.

To set up Hexen CD's music, please refer to https://www.chocolate-doom.org/wiki/index.php/Digital_music_packs and configure accordingly.