Ugh, wind shelters. They were the bane of my existence.
I tried setting up wind shelters at tier 1, because, you know, the game is called A Valley Without Wind and I thought that would ultimately be the goal, to push back the wind. To say that trying to fight the bosses was futile would be an understatement. I then tried running through and died very quickly. And again, just to make sure.
So I figured that facing Tier 4 (or was it Tier 3? I forget) monsters at Tier 1 was not a good idea, and maybe I'd have more luck on later tiers.
Tried again around Tier 3 or 4. Didn't fail as bad this time, but even after several attempts, no luck. Got hit by four of those flying green mini bosses that shoot spores which I haven't seen before. If not for my scroll of elusion, I wouldn't have made it out.
By Tier 5 I figured out that inside and underground areas aren't affected by the wind storms. At this point I could run through stormy areas without too much trouble, so by the time I was strong enough to build a shelter I was also strong enough to not need one.