RTNETLINK answers: Operation not supported

[Jason A. Donenfeld]

pi at raspberrypi:~ $ ip link add dev wg0 type wireguard
RTNETLINK answers: Operation not permitted

This needs to be run as root, using sudo.

sudo  ip link add dev wg0 type wireguard

After this, it should work. I believe you worked out the prior issues
already by installing the headers package and bc and whatnot.

Please stop sending duplicate emails to the mailing list. Collect your
thoughts in single coherent messages, and email the list directly
rather than individual members. The barrage of the last 48 hours --
when many of us are not available since it's the weekend -- has been a
bit annoying.