Having ridden for 13 years in Manitoba where you've got windy days and very windy days ...
I have found what works for me is to find a comfortable gear and cadence, and then I just relax when riding into the wind. I don't try to work too hard ... just simply try to get as comfortable as possible out there.
And then, every time I get a break from the wind ... whether that's a line of trees, or a change of direction (me or the wind), or whatever ... I ride as hard as I can until I'm back into the wind again. And when I get back into the wind again, I relax and rest a bit until the next break from the wind.
A lot of people try to work hard into the wind, and then rest when they've got a break from the wind ... but after 13 years of experimenting with it, I've found it's actually more efficient to rest into the wind, and work hard when there's a break from the wind.