I ported a wind system to c-script a few months ago. Check it out at the link. There's an example on how to use it with the physics engine:

http://www.conitecserver.com/ubbthreads/showflat.php?Cat=&Board=UBB3&Number=300853

It's much more complex than the simple(but still effective) way that Verorien offered. If all you need is a constant breeze in a given direction, then his way is all you need. Mine gives you a completely random system with gusts, stillness, direction change, and a direction indicator. It can also be setup for non-random behavior, though.

It's not nessarily the best way and it may or may not be all the efficient, but it's there for you to tinker with if you want.