It helps me to push a harder gear. That chain tension helps me keep the bike stable. As for speed, it depends. Going a little bit slower is a natural reaction when you feel you need to brace your whole body against a crosswind, IMO, and helps with the chain tension part. But then your bike wants to stay straight and upright when you've got some forward momentum. So, if you are worried about losing your front wheel out from under you due to a big gust, then keeping a relatively normal speed will help you with that kind of stability.
This is from experience in winds of 35-40mph or higher (which is about my upper tolerance for wind gusts on a bike). Although annoying, lighter winds won't require as much speed or gearing adjustment because it's easier to just lean into the wind.