Probably one of the most important things to do when in windy areas is to put your awning up anytime you will be away from your rig. I will often put mine in when thunderstorms are building because the wind can come up so fast you won't have time if you're not ready.
If you are going to park your rig in a windy area it's always a good idea to point either the front or rear to the wind rather than parking broadside. This will prevent being buffeted around. Be very careful when you open your door too. The wind will pull it out of your hand and slam it against the side of your rig.
When parking your pull rig in windy conditions you might want to remember to point the front of the vehicle into the wind. I saw a newbie RV'r in Arizona last time that didn't know to do this. He pulled in up to his new little pull trailer and backed in beside it. When he opened his door the wind grabbed it and slammed it up against the front fender of his brand new truck.
Another little tip is to keep all your stuff inside your rig or in some kind of shelter that the wind won't destroy. Some folks put up little tents to use as storage areas. The wind knocks them around but if tied down properly they won't blow away.