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In the context of stochastic thermodynamics, a minimal model for non equilibrium 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 non equilibrium 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 quasi-static counterpart - with few constraints - and then adding a finite-time contribution which only depends upon the chosen quasi-static 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 non-equilibrium steady states.