The big kids always use a 100Hz High Pass Filter when live recording. Effect > High Pass Filter. If the wind noise is not whump, whump, rumble but instead actual whistling or rushing, then the wind is now a permanent performer in your show.
There is a microphone cover called a “dead cat” which is designed to be used in windy environments. Recording in windy conditions is very difficult even with the right equipment.
http://kozco.com/tech/audacity/pix/Boom.jpg
http://kozco.com/tech/audacity/pix/BarbecueShotgun.jpg
Without and with noise suppressor.
http://kozco.com/tech/audacity/pix/sennheiserShotgun.jpg
http://kozco.com/tech/audacity/pix/sennheiserBlimp.jpg
Koz