The main use of a wind speed instrument is bragging rights at the bar. "We had 40kt gusts on the wind speed" stuff.
Other wise it is the feel of the wind on your ears and neck that is my best feel for what the wind and boat are doing. Sounds a bit trite but it is the case that you can feel wind speed very well. Direction, as Ramona says a piece of wool on the shrouds and a wind indicator at the mast head.
Also as Ramona notes, current speed and direction affects the wind's impact on you a great deal. Have a look at this link and have a think about the affects of a sou-easter on the sea in an out of the East Australia Current. If we get a brisk sou-easter half way to Lord Howe the sea is going to be seriously untidy.
oceancurrent.imos.org.au/LordHoweS/latest.htmlThis current, and the prevailing nor-easter on the nose, is why a passage to Lord Howe is usually a challenge one way or another.
You don't need a wind speed indicator to know this one.