In the context of stochastic thermodynamics, a minimal model for nonequilibrium steady states has been recently proposed: the Brownian gyrator (BG). It describes the stochastic overdamped motion of a particle in a two-dimensional harmonic potential, as in the classic Ornstein-Uhlenbeck process, but considering the simultaneous presence of two independent thermal baths. When the two baths have different temperatures, the steady BG exhibits a rotating current, a clear signature of nonequilibrium dynamics. Here, we consider a time-dependent potential, and we apply a reverse-engineering approach to derive exactly the required protocol to switch from an initial steady state to a final steady state in a finite time τ. The protocol can be built by first choosing an arbitrary quasistatic counterpart, with few constraints, and then adding a finite-time contribution which only depends upon the chosen quasistatic form and which is of order 1/τ. We also get a condition for transformations which, in finite time, conserve internal energy, useful for applications such as the design of microscopic thermal engines. Our study extends finite-time stochastic thermodynamics to transformations connecting nonequilibrium steady states.