Word of warning for anyone thinking of doing this with a Dell XPS 13/15, the 2016 models (at least) only support 16Gbps of PCIe over the Thunderbolt 3 link.
That's the same bandwidth as TB2, which will add another 10% performance penalty versus a native 16-lane PCIe gen3 slot, for a total of 20% performance lost. Still completely workable.
Nor was I until I started reading around this topic earlier. It's certainly still workable but just worth keeping in mind before anyone springs extra £££ for TB3 and the latest crazy-powerful GPU.
http://www.notebookcheck.net/Design-flaw-in-XPS-9350-9550-ma...