It isn't just headwinds that affect mileage significantly. A side wind will do it too. Driving in a side wind, you have to steer a little bit into the direction of the wind in order to keep the car going straight. Therefore, the car's front wheels are turned slightly into the wind, and you are to a small degree skidding the front tires on the pavement. (It also puts more wear on the tires). In a side wind of 20 miles per hour or so, you shoud be able to easily see, when going straight, that the steering wheel isn't in its normal "straight ahead" position.