I setup a completely headless host system to which my steam link connects. It was not that hard, but I had to scratch my head a few times, so maybe this little report can help somebody with the same intention.

WHY DID I DO IT?
----------------
My goal was to get the big tower out of the living room to a remote place (that still has an ethernet connection to my network) be able control it like a console with my XBOX One Controller and use it as a regular desktop system occasionally.

WHAT HARDWARE DO I USE?
-----------------------
My Steam Link is connected to a Onkyo A/V receiver. That one is connected to a 1080p Samsung TV... should matter.
On the USB boards are a Logitech Wireless mouse/keyboard dongle
The xbox one wireless adapter and
a micro USB-cable (for loading the XBone controller)

My Gaming-PC is a custuom, but not too fancy big tower machine (16GB Ram, MSI GTX970, Intel Xeon Processor, MSI motherboard - again this shouldnt matter). I like it, but I don't want to see it all the time in my living room. :)
All thats connected to it is a HDMI dummy a.k.a. monitor emulator (http://www.amazon.com/CompuLab-fit-Headless-Display-Emulator/dp/B00FLZXGJ6)

PREREQUISITES
-------------
- Steam Link is up and running
- Host PC has a Win 10 Pro (thats important for 1 step) and Steam (and in my case also Origin, Uplay,...) installed
- Steam Link connects to the Steam Host with In-Home-Streaming

HOT TO SETUP WINDOWS RIGHT?
---------------------------
First - it's a good idea to set everything up while still hooked to a monitor. That makes things a lot easier. Unplugging the monitor, relocating the tower and plugging in the dummy should be the last step.

BYPASS LOGIN SCREEN AND BOOT DIRECTLY TO BIG PICTURE MODE
---------------------------------------------------------
I wanted to boot directly to the desktop with a standard user.
It did the trick with this tutorial, but as far as I remember this only works with Win 10 Pro license - http://www.tenforums.com/tutorials/3539-sign-user-account-automatically-windows-10-startup.html

Second Step is to enable Auto-Start in the Steamclient. Click ob Steam menu -> settings-> interface and enable "Run steam when my computer starts" and "start steam in Big Picture Mode"

Congrats, your system shouls automatically boot inte steam big picture mode

SCREEN RESOLUTION
-----------------
Set your windows resolution (and your game resolutions) to 1920x1080 pixels maximum. Thats what the Steam Link can stream, letting your system handle more is just pointless.

HOW TO ADMIN THE SYSTEM?
------------------------
Steam Link disconnects when Windows is locked or when the UAC prompt comes up. So - I needed at least one addition type of connection to the machine.
After a few tries I chose to setup a VNC service to which I can connect to from within my home network (e.g. with my laptop or my smartphone). This allows my to enter my admin account (e.g. for driver updates) and to quickly close annoying Origin/Uplay - popups, screens with my smartphone, when I only have the controller at hand.
I use TightVNC - it's free, sets up as a service by default is password-protected and easy to configure and ... well, just works. An installation guide is here. I just followed that one but of course only installed the server part. The installationa took care about Windows firewall rules as far as I remember. At least I'm sure I didn't configure anything myself. http://www.tightvnc.com/doc/win/TightVNC_for_Windows-Installation_and_Getting_Started.pdf
Choose a VNC client of your choice and connect to your Steam host machine with entering the IP-address and the password you've chosen during the TightVNC installation.

Congrats - you should be able to remotely access your system via VNC, install games, update drivers and dostuff, ...

HOW TO LET WINDOWD PLAY MUSIC WHEN NO SOUND DEVICE IS ATTACHED?
---------------------------------------------------------------
Gaming without sound is no fun - but at least in my case Windows refused to play a Sound over the Steam Link when I disconnected the HDMI cable because the SO didn't find any sound device.
So we need to trick Windows into thinking a Sound device IS attached. That trick is done with a virtual sound card driver. Thats software that emulates a sound card and can help to do all kinds of stuff (rerouting audio from different sources, writing the audio stream to a file,...). I just use it to let Windows "virtually" play audio so my Steam Link picks up the Audio and I can play in 5.1 surround.
I use VB-Audio Virtual Cable for that. In the free version you can use 1 virtual sound card without limits, and thats enough. Just download here and follow the installation guides. http://vb-audio.pagesperso-orange.fr/Cable/
After installing the software right-click the speaker button in Windows and click on "audio devices" (my system is in German, so maybe thats not the exact wording). Than click on "CABLE Input" and set it as standard. By default its set up as a stereo sound card, but if you click on "configure" you can choose any speaker setup you like. The beta build of the steam link supports up to 5.1

INSTALL XBOX ONE WIRELESS ADAPTER
------------------------------------
Plugin the adapter to the host PC, follow the regular installation, connect the controller to the adapter and ... play a game, just for testing purposes ;)
If the controller works, unplug the adapter from your host PC and plug it into your Steam Link.

INSTALL THE VIRTUALHERE CLIENT
------------------------------
Head over to virtualhere.com, click on the client tab (the server runs on the Steam Link) and download the Windows client (no installation needed). After that add the client to windows auto-start. Here's a guide for that - http://winaero.com/blog/how-to-add-or-remove-startup-apps-in-windows-10/
And - you're done.

PREPARE WINDOWS FOR USING WITHOUT A PHYSICALLY ATTACHED MOUSE
-------------------------------------------------------------
As I said, I wanted to use Steam Link also for desktop stuff. This works easy by just going to the power menu on the Steam Link if the host PC is connected and pressing "minimize to desktop". But - if no mouse is physically attachd to your host machine, Windows shows no mouse cursor.
A neat little workaround is to enable "mouse keys" in the accessability section of windows. Heres how to enable it - http://windows.microsoft.com/en-us/windows7/use-mouse-keys-to-move-the-mouse-pointer.
Ta-taa... Windows shows the cursor even if no mouse is attached.

Thats it on the Windows side

SETUP "WAKE ON LAN" IN YOUR BIOS SETTINGS
-----------------------------------------
The Steam Link can send a MagicPacket (use Wake-on-Lan) to host machines it already knows. Windows can accept Wake-on-Lan to resume from sleep but it's even nicer to power on the whole machine with this little trick. My motherboard (MSI) supports to power on the whole system when it receives a MagicPacket. The feature is disabled by default, but can be enabled in the BIOS settings. I like that option because I don't want my not exactly eco-friendly system to constantly use power even when I'm not gaming. Loog up a tutorial for "Wake on LAN" and your specific motherboard - thats not a standardized feature as far as I know, and setting it up varies from motherboard to motherboard.
If your board doesn't support the option this setup still works. But you need to remind to put your system to "stand-by" in Steam Link and not to "Power off". Without the feature the Steam Link can't fully power on your machine and you would need to do that manually (and that'S not what we want to do).
And - don't change BIOS settings if you don't know what you do.

SETUP YOUR STEAM LINK
---------------------
Today is Feb,2 2016 and only the beta build of the Steam Link supports 5.1 audio, the virtual here server and (I think) WAKE ON LAN. All three are crucial for this setup. Say goodbye to your out-of-the-box Steam Link software, go to https://www.reddit.com/r/Steam_Link/comments/3u3g6q/how_to_install_steam_link_beta_build/ and install the beta build. I personally hat no glitches, bugs, whatsoever with the build.

POWER EVERYTHING UP
-------------------
Unplug the mouse and keyboard from your host PC - you don't need it anymore, plug in the XBOX wireless adapter into your Steam Link, plug your XBOX One Controller to the Steam Link with the micro USB cable, plug in your mouse/keyboard do the Steam Link and power up your Steam Link. You should see your host PC as an "offline" Steam PC. Click on it and Steam should send the MagicPacket to wake up your host PC. (If the machine doesn't appear - start it up manually for one time and look for it within the Steam Link. Then power it down / send it to sleep and try again if you can wake it up with the Steam Link. If it's still not working - google "Wake on Lan not working why" and I wish you gooooood luck).

SETUP XBOX WIRELESS ADAPTER
---------------------------
But I'm optimistic and everything worked. All we need to setup now is the XBOX One Wireless Adapter. In the Steam Big Picture mode go to "minimize to desktop". In the bottom right corner you should see the "VirtualHere" client app (a green USB symbol), maybe it's in the extension (click on the arrow pointing up in the bottom right corner). Double-Click on the app. The interface is very simple. Just click on the + in front of "USB HUBS", than Steam Link and then right-click on XBOX ACC (thats the wireless adapter) and select "Auto-Use Device". You can now pull the cable out of your beautiful wireless controller and press the Xbox button. The controller should connect to the Wireless Adapter and the adapter should behave as if it's plugged directly in the host PC although it's connected to the Steam Link.

OTHER STEAM LINK SETTINGS
-------------------------
I have a fully wired connection between my Steam Link and my host PC, so I just set the streaming quality to "beautifuy" in the settings. Also I checked the box for 5.1 audio and everything works like a charm.

A WORD ON 5.1 AUDIO
-------------------
Audio can be a little bit of a beast. I had to play around with the settings on my A/V receiver and the TV so that they auto-detect the right input signal. The experience in Steam Link is pretty forward - if you enable 5.1 Audio it should work. I never expected to have to deal with the settings of my reveiver and my tv. So - before you spend hours on searching the web about obscure audio problems - at least try to have a look on your audio/video hardware.

THE LAST STEP
-------------
Power everything down, unplug your machine from everything, relocate it. Plug in the HDMI monitor emulator (otherwise Windows starts to act crazy or won't work at all), plug in the power cord and your ethernet cable and...

Congratulations - you should have setup a completely headless Steam Link system. At least... this one worked for me.



A LIITLE NOTE AT THE END
------------------------
This is the first ever how-to/tutorial-ish thing I've written - and I'm not native English speaking - and I'm no tech pro. So
... if you have any suggestions on the text itself, I'm happy to edit it.
... if you know better solutions achieving what I've done, I'm happy to edit the text (and my setup at home).
... if you run into any problems when trying to replicate this, I try to help, but I can't promise to give good support and I can't even promise that this little text is any help at all. It just worked with my setup at home and I thought maybe a few people can get a few ideas out of it.