I simply do not look at the speedometer when I am going into a headwind (and we get them here!!) I go harder, the same way I work harder going up a hill, but seeing hte numbers only confounds things. I gear down and just pretend it is a very, very long hill... and keep saying "it'll be great coming back!"
When I was in Virginia, where it's seldom windy, the most common newbie mistake was to go out and feel SO STRONG... not knowing it was because of a tailwind... and ride exuberantly, with more energy than usual... and then turn around. ACK!