The standard aphorism that I tell the folks I coach in my Club's group riding skills series every Spring is:

"Don't try to fight Geology (hills) or Meteorology (wind), they've had 4 billion years more practice than you."

iow, if you are confronted with a headwind, maintain your perceived effort, not your actual power output. Slow down; don't fight it, you'll just lose.

(Note, that applies to group riding. If you're riding solo and want to get a killer workout, go ahead and try to fight the headwind. Knock yourself out.)