I came across a model of a boat, and I tried to add some wind and cloth simulations to the sails and flags. The sails respond to the wind, but the flags do not, they just fall. In both cases I followed the same procedure:
Get a bunch of vertices to act as the "pinning vertex group", reduce the mass to about 0.02, reduce springing to 1, bending to 0.3, and check self-collision.
Initially, I thought that maybe they were too high to interact with the wind, so I put another wind source beside them, and still nothing. Also of note is the flag on top of the 3rd mast. I have no idea what is going on with that, but I have a feeling that it's a result of the mesh trying to fall, but it keeps interacting with itself to create a mess.
My .blend file