Given some non zero constant vector $\mathbf{W}$, how do I solve:
$$ \dot{\mathbf{X}} = \mathbf{W}\times \mathbf{X} $$
By imagining the movement of $\mathbf{X}$ I think the solution should be a cosine / sinus, but I can't find a good explanation for this, and perhaps the $\mathbf{W}$ will affect the coefficients of the cosines of $\mathbf{X}$.
I tried going through the definition of a cross product via indices and I wrote:
$$ \dot{X}^i = \epsilon_{mki}W^m X^k $$
But I don't know how to solve this either.
Your idea using indices will help us solve this equation. If we write it out in matrix form, we know that $$\dot{\mathbf{X}}=\left(\begin{matrix}0 &-W^3&W^2 \\ W^3&0&-W^1\\ -W^2 & W^1&0\end{matrix}\right)\mathbf{X}\equiv \mathbf{M}\mathbf{X}.$$
This can be solved using regular ODE methods, by finding the eigenvalues $m_i$ and eigenvectors $M_i$ of $\mathbf{M}$. One of the eigenvectors is clearly $M_1=\mathbf{W}$, with eigenvalue $0$. The other two eigenvalues are $\pm i\sqrt{(W^1)^2+(W^2)^2+(W^3)^2}$, and you can calculate the eigenvectors $M_2$ and $M_3$ yourself. So if you break up your initial vector into a linear combination of the eigenvectors, you will indeed see sinusoidal time evolution of the components perpendicular to $\mathbf{W}$: an initial vector $$\mathbf{X}(0)=p_1 M_1+p_2 M_2+ p_3 M_3=p_1 \mathbf{W}+p_2 M_2+ p_3 M_3$$evolves into the vector $$\mathbf{X}(t)=p_1 \mathbf{W}+p_2 M_2 e^{i t \sqrt{(W^1)^2+(W^2)^2+(W^3)^2}}+ p_3 M_3 e^{-i t \sqrt{(W^1)^2+(W^2)^2+(W^3)^2}}.$$
Edit: In summary, the vector $\mathbf{X}$ will precess around the direction given by $\mathbf{W}$ at frequency $|\mathbf{W}|=\sqrt{(W^1)^2+(W^2)^2+(W^3)^2}$.