Try turning a bicycle upside down (a touring model rather than a mountain bike… the tires are smoother). Spin the tire and press a piece of stretched silk/parachute-pants/winter-parka against it. Out comes wind in the form of a modulating white/pink noise. You could also run a white/pink noise signal through a low pass filter and automate the cutoff frequency (and resonance). The other method will probably yield results with more character and natural variation. Digital methods tends to sound static. (Lame pun intended…)
– Sam Watson

I was trying to take the air out of a large ziploc (laying flat on the counter) at home and noticed how much it sounded like the cold howling wind you hear in the winter. I can’t say how much of the bag was closed but you can always experiment.
– Chris Leblanc

A simple way to create Wind (fake Wind of course :)) using a portable recorder like the H2: Simply take an old foam windscreen and place it in the recorder. Now, slide the windscreen in any fabric, curtain or clothes. That’s it!! Instant Wind! Is important that you use an old windscreen. New ones get stuck in the sliding process.
– Matías Cerviño