Use a cloche for your smaller plants
A cloche is a great way of protecting young/small plants from the wind. Cloches were originally made of glass, but they are now often made of plastic.
You can make your own using a plastic bottle and cutting the bottom off. It is like a mini greenhouse, trapping heat from sunlight in the air and soil underneath. This increases the humidity and can stop seedlings from drying out. On warm and windy days, you can remove the bottle top as a vent.
For larger plants, you can use a bucket however, you this would not let in any light or air so definitely not a long term solution.
Use supports for larger, established plants
Larger, more established plants will not fit under cloches so using supports to help them withstand the wind is a good idea.
Push stakes into the ground but not too close to disturb roots. Then tie plants, using the main stem, to the stake. Using string or equivalent. You may need more that one piece of string depending on the height of the plant.
Bring your pots indoors
If you have potted plants outside, you could bring them indoors until the wind dies down.
Finally, when planting in your garden, think about vulnerable areas. When planting tall plants, they would be best suited against your fence, garage or shed for wind protection.