Head wins will decrease the yardage a bit more than a tail wind will carry the ball. But usually i find its about 1 yard of distance per 1 mph of wind. This is usually anything above a calm wind, like 5 mph+. So 10-15 mph is about 1 club length extra distance needed for an iron into a head wind.
Side winds are a bit tough, because going with the wind will increase the distance a bit, i usually think about half a club length. If you hold it against the wind it will decrease distance. Also, the curve is increased as well.
Head winds will increase the amount of curve in the ball as well, ever hit that slice into a strong headwind, and it just skies up and turns right a ton. Tail wind will decrease the curve in a ball. Draws hold a bit more into a headwind, just because i think its easier to put alot more slice spin on a ball than it is a draw spin. I guess unless your Rory, hitting 15-20 yard draws, draws wont be effected as much as a slice.
So for me, i try to keep track of the weather before i play a round of golf. Then i can get a good estimate as to how much extra club to take. As for side winds, depends on the shot you play. If you hit a cut, hit a bit easier, its going to curve more and probably go a few yards farther, if you have a left to right wind. If your cutting it into the wind, it will probably go a few yards shorter and cut less. So its all accounting in your preshot routine.
Also, pulls, and pushes tend to not be effected by cross winds. Ever hit that pull into a left to right wind (for righties), and it just keeps going left, and your wondering why its not being pushed right. Unless you have a very very strong wind, the wind really doesn't push the all. It just effects the spin on the ball. That's why Johnny Miller said that a tail wind in some cases can cause you to come up short, because it counters backspin, and backspin helps keeps a ball in the air longer.
really, just try to take account in your preshot routine. Adjust your club selection, and alignment. Then when your ready to hit the ball, put the wind out of your head because you took care of it. If it gusts in your backswing, your shit out of luck :p