We found this activity in a beautiful book "Feel the Wind" by Arthur Dorros. An excellent book for explaining what wind is to young children.
We made this first wind vane together, and then the kids made a second one by themselves.
You need a pencil with an eraser, some cardboard, a pin and a straw.
Put them together, making sure you put the pin through the balance point of the arrow.
Take it outside and put it in the ground.