For straight on headwind, I usually drop a gear because I find it less annoying. But that's personal preference, not a rule with universal validity.

For gusts, I agree momentum helps keep you upright. In gusty winds, be careful when starting or stopping. I feel more vulnerable if I'm not moving or if I am moving slowly.

If it's too windy or gusty, I stay home -- usually over 35-40 keeps me in.