Strange thing about wind, it can be hard to wrap your hands around it.
Best practice for me has been finding some sort of living wind. If it can punch you, you can punch it back, and it won't slip through your grasp.
Head over to the Shrine of the Summer Breeze to the south and summon just such a living wind using this wind stone. Best it, gather a Fluttering Breeze from it, and come back over this way so that we can figure out what's next.