Once a player is at address, he is responsible for the movement of the ball, no matter what actually causes that movement. It's right there in Rule 18-2b: "If the player's ball in play moves after he has addressed it (other than as a result of a stroke), the player shall be deemed to have moved the ball and shall incur a penalty stroke."
So once you're at address, a gust of wind can come up and blow your ball off its original spot, costing you a stroke (the ball would be replaced to its original position). This happened to Phil Mickelson in the 2003 British Open.
The exception is if an outside agency causes the movement of the ball (an outside agency being a referee, forecaddie - but not a caddie - observer, etc., not part of the match). But the rules explicitly state that wind and water are not considered outside agencies.
So when the wind is blowing hard, be prepared to get over the putt and pull the trigger quickly.
On the other hand, if the wind moves the ball before you've addressed it - say, as you are standing near the ball preparing to take your stance - it is not a penalty. This happened to David Toms at the 2005 Masters - his ball was resting on the crown of a ridge. He was taking his practice strokes and was about to get into his stance when the ball began rolling; it rolled down the ridge and off the green. In this scenario, you simply play the ball from where it comes to rest with no penalty.
