As I understand it... No.
Rockets that weathercock fight to pull *against* the direction of the wind. Weathercocking also (generally) only happens until the rocket gains sufficient speed to overcome the tendency to weathercock, at higher speeds, they tend not to do it so much.
Therefore, angling the launch rod WITH the wind causes the rocket to weathercock INTO the wind and therefore instead of going cruise missile it changes to a direction that is more or less straight up.
Chan is better at this than me, but that is how I understood it when he explained it before. Does that make sense?
That's basically got it. Point the rod downwind slightly (which if you want to be precise might be a 5 degree angle). When the model clears the rod, it's at the lowest boost velocity and will therefore be most susceptible to getting knocked around by the wind. The wind will have a greater impact on that big fat wing area than that skinny nose area. That will push the wing downwind, pivoting the nose upwind. The will tend to "correct" the path that started off pointing downwind. If angled properly, the net effect will be a fairly vertical flight, because when it gains more speed over the next 100 feet or so, it will be less likely to weathercock.
Now, of course, a rocket that flies straight up and deploys at apogee on a windy day is going to drift a ways. That means a longer walk and possibly a lost model. If it's too windy to fly it straight up and recover, don't fly it. Period.
When you try to outsmart the wind by pointing into it, you amplify the weathercocking so as to almost guarantee a horizontal flight path, which runs the risk of losing the model in the opposite direction, and often winds up not being nearly as short a walk as you'd hoped. If anything, leave the rod vertical, allowing the weathercock to tilt it a bit upwind but not extremely so.
I know how frustrating it can be to arrive at the field anxious to fly a specific model and find the weather is not cooperating, but trying to [fudge] with the flight path is not a very bright risk. You are MUCH more likely to lose or damage the model, shred the recovery, etc. than if you simply fly the field/conditions and stick with straight up flights. Think about it--we try to select the "right" delay that will result in deployment at or near apogee, which is the lowest velocity of the fight and lowest stress on the chute. Is there EVER a point on a horizontal trajectory when it's OK to deploy, low velocity and low stress on the chute? Would the same folks who think it's a good idea to fly horizontal/upwind also agree that it's a good idea to avoid delays entirely and just go with -0's? After all, a -0 is going to reduce altitude, which would result in less drift and walking, right? Isn't that the objective for the fly-into-the-wind crowd?
Even a 5-minute check online of weather conditions before heading to the field can help ease the disappointment.
Read the comprehensive report Ted Cochran and the NAR safety committee have published on launch safety. IIRC two main causes/findings of serious accidents are related to rockets landing in bad areas (near cars or people) and recovery failures (which often leads to landing in bad areas). Angling into the wind to shorten a recovery walk is a really bad, ineffective idea that we don't adequately teach and train our folks enough about.