Are you talking about an anemometer (wind speed) or a wind direction indicator? I do like my masthead windex but it's not a vital piece of gear for me. I have, can and would sail without one just fine. Like was mentioned before a piece of yarn on a stay will tell you wind direction.
Also, if you mean anemometer, that also is not a vital piece of gear. You can tell when it's time to reef by how the boat is handling.
Just my two cents.