One of the biggest mistakes golfers make when playing in the wind is to make aggressive, full swings. It almost seems as if they try to overpower the wind - that cannot happen!
Here is a perfect example: A golfer faces a 120 yard shot that is into the wind; they calculate the shot to be playing approximately 130 yards; they pull their 130 yard club and make a full swing; the ball comes down 25 yards short of the pin. The reason this happens is that the harder you strike the ball the more it spins and spin creates turbulence, which leads to lift, which leads to height, which leads to the ball finishing far shorter than expected when flying into the breeze.
Here are a few keys to remember:
Always take far more club than you would normally use and hit the ball gently.
Narrow your stance slightly as this helps to hit down on the ball creating compression.
Use substantially less than a full swing - keep the follow through nice and compact too.
Grip down on the club slightly.
Some of the best shots I have ever hit have come in high wind situations: I recall the 9 iron from 86 yards at Old Head in Ireland and the 5 iron from 135 yards at Harbourtown as if it was yesterday. The reason I can recall them is because they were played in such a challenging situation. Look at these blustery days as a fun challenge - hey, most of your competitiors have already given up mentally. Throw the scorecard out and try to hit each shot to the best of your ability.
If you too can learn to swing softly and hit the ball gently, which in turn controls the trajectory and spin, you will begin to relish any challenge the wind may bring your way.