Soul-crushingly bad; heartbreakingly sad; bone-crunchingly violent; etc. I swear I have seen it done, but I am not sure whether it's proper grammar or not.
All your examples are correct. These are adverbs rather than adjectives. Specifically, they're participial adjectives that have been turned into adverbs using the "ly" suffix. They also all follow a pattern where the noun added to turn them into a compound is the noun that would be the direct object of the verb. (e.g., soul-crushingly bad = bad enough to crush souls). There are other examples that follow the same pattern (e.g., "breathtakingly beautiful").
The "add -ly and use it as an adverb of manner" construction doesn't seem to work on all compound participial adjectives. There's no such adverb as "hard-workingly" or "time-consumingly," for example, even though time-consumingly fits the same pattern as soul-crushingly).
The -ly is totally unnecessary on these compound adjectives; you can get the same effect by saying "breathtaking beautiful" as adjectives are often used as adverbs in English, a completely malleable language. Plus, it helps the style.