My perspective: Read all cosmere except for a few of the novellas and white sand. Rereading era 2 right now for the lost metal, have read none of the previews, and don't intend to.
It bugs me how the heck Kelsier got back into a physical form (making this assumption off of the SL5 prologue). We know hemalurgy has something to do with it, but I don't even like that because in almost every case of hemalurgy I can think of that isn't just ruin/harmony/(trell?) communicating, the process involves altering a creature at the expense of a victim. I understand that Kelsier is clinically insane, but even he doesn't murder people offhand unless they are lords... and now I've remembered the women the vanishers kidnapped and I really don't like the end of that theory so we're going to stop that thread here.
Heebie-Jeebies aside, We know Kelsier used hemalurgy and is now physical with at least one spike through an eye, and that he survives as a physical being until era 3. My main theory comes from the longevity. We know steel inquisitors have longer lifespans (marsh), but for Kelsier to pull that off, he would have to stab himself with enough spikes to the pint that it would put him firmly under a shards control and I don't think Kelsier would make that decision. I needed a way for Kelsier to be physical, immortal, and independent and the first thing that came to mind is Paalm. Although she's not strictly independent, she had far greater control (or at least she thought she did) than the standard Kandra.
So to get the point (TLDR): I think that Kelsier makes himself into a Kandra by luring a mistraith into the cognitive realm and then spiking himself as a cognitive shadow using a blessing of identity, and having a second spike that is not of harmony or at a bare minimum not of ruin.
I know there are quite a few holes in the theory, especially with my limited understanding of kandra blessings and hemalurgy so if anyone has a reason why this is impossible I'd love to hear it.