It worked in the old Sid Meier's Pirates game. It would impact your overall cruising speed, and ability to maneuver in combat. Ship-to-ship actions would require much more tactical planning- whether to attack from upwind, when broadsides can be brought to bear, etc.
How about a wind speed/wind direction dynamic for ship-to-ship combat? Would certainly make things more challenging... quite a bit slower, also, so maybe reduce the overall number of enemy ships on the high seas as it will take longer to defeat any of them.