To set up a Hexo site with Netlify CMS, you need to first prepare your local environment by installing the netlify-git-api CLI tool and cloning the hexo-netlify-cms repository. You then need to add users to the system, start the Netlify CMS server, install the Hexo CLI, test the site locally, and deploy it to a production environment. To do this, you need to configure your site's settings, push your changes to GitHub, connect your site to Netlify, register a new application on GitHub, set up GitHub API access for your site, and try out the Netlify CMS system. Once everything is set up, you can use the site and test its functionality, including its performance and security features. The process involves some technical steps, but with the right tools and knowledge, it's possible to create a fully functional site using Hexo and Netlify CMS.