I've considered 3 types of wind vanes, all cheap but am leaning toward the Telo-Cat. All are available from Davis or West Marine, see...
http://www.davisnet.com/marine/products/wind.aspI have not bought one yet, and probably won't. If I do use something, it will be a piece of yard tied to my shroud, but it won't ever replace a licked finger held in the air. Only since I bought my Wave, have I started to utilize Tell-Tels. By far, I consider them to be the most useful piece of equipment on my boat.
Happy Sailing.
gus