How hard climbing is has a lot of dependency on how much you plus your bike plus your gear weighs. You can play around on sites like Bikecalculator , enter your numbers and then play with wind/grade and see how things change. For a heavy rider on a heavy bike that is heavily loaded, a 5% grade can be the equivalent of a 20 mph headwind.

I weigh 220, the math would say I'd burn less watts with most headwinds. On loop rides I don't worry much about headwinds - I just rode a charity flat century that had 24 mph sustained winds at the start and it was still at 16 mph at the end. The 40 miles or so that were direct into that wind were bad but with loop rides you know they won't last forever. An extra half hour on 6 hours of riding is not that bad.

A day long slog into a headwind on a tour is a different story - I'd rather be doing more climbing and taking weight off my rear end if I'm going to add 2-3 hours in the saddle.