I totally avoided the wind at first, well as much as I could. If I saw the tops of the trees moving just a little, it was too windy for me. Then, like everything else in cycling, I slowly got stronger. But, yeah, I'd follow the direction as much as I could so I'd have a tail wind, and I still always check the forecast to see how it's blowing.
Now, I can ride in wind up to 35 mph (well, I've done higher than that, but if stuff is blowing around, I won't ride). I get in the drops and spin as best I can. Into a hard headwind, it's not that different from climbing (except for body position), and I'll get in my easiest gear, and try to think positive thoughts, and smiling helps. If you keep telling yourself this really sucks, then it will. If you tell yourself how great it's going to be on the way back, and how you're just paying the piper now, you'll have more fun.
Oh, and don't look at your speed on your computer. It doesn't take the wind into account. It might say you're going 8 mph, but really, you might be putting in the same effort as riding 16 mph with calm winds. You may be getting an even better workout, getting stronger, building muscles, all that good stuff. So, learn to love the wind. It won't happen overnight, but keep trying, and it will get better.
'02 Eddy Merckx Fuga, Selle An Atomica
'85 Eddy Merckx Professional, Selle An Atomica
'10 Soma Double Cross DC, Selle An Atomica
Slacker on wheels.