The easiest way to know the direction of the wind is to turn your nose to the wind. When you feel it blowing equally on both sides of the cheeks, the nose points out the direction of the wind. With a GPS or compass you can easily see how you are geographically relative to where the wind is coming from. See the wind direction in flags on the beach are also a good wind marker. You should preferably stand in front of the flags to see which direction the wind is blowing.
Waves and the direction of the water can also help you know the direction of the wind. The water and waves usually move in the same direction as the wind, as long as no reefs or islands are in the way.