i used to really get bothered and worn out by headwinds....
seems the longer i ride singlespeed/fixed the less it bothers me.
with gears i think i used to just pick a comfortable cadence and could just shift regardless of conditions to keep that same cadence.
i have noticed that with only one gear only commuting for the past couple years i think i have become better at riding a slower cadence more efficiently (which is why i don't struggle so much against the wind anymore).
or at least that is how it works in my head, which is good enough for me.