Wind is my passion, so if I sound like I am pontificating, my apologies. I built a house off grid in CO just so I could shoot every day in various wind conditions.
I use my side parallax to focus on mirage; it is why I love NF scopes. I have a March but it isn't nearly as "sensitive" as my NF scopes. Mirage is my No 1 method. If there is no mirage, I use a Kestrel but even more so, I use a wind flag made from a lightweight shock corded pole planted at my location. That gives me direction and wind value (esp if I compare the prevailing wind to the Kestrel reading). For wind direction at my target location (assuming no mirage), I look at vegetation - is the wind blowing the left side of the tree or the right side? Which side of a rock is the vegetation blowing?
The range obviously matters a lot. I have various gongs at my CO place; the 620 yard gong is 10x12, and with a Lapua, Edge, 300 RUM or 28N, it takes a pretty strong wind to hold 2 MOA; not so at 910 or farther. I have a gong at 760 that is a 15" circle; if the wind flag is blowing about 25 degrees, I hold on the edge and hit within 5" of center about every time. A 45 degree wind is 2 MOA, and if it is blowing hard enough that the flag (it is actually a piece of string) is higher than 45 degrees, I hold at least 3 MOA. Same wind is a 4 to 5 MOA hold at 910. I have similar rules if I can see the mirage.
I only practice long range shooting with my long range rifles. I have heard many say a .223 is great tool to learn the wind. I disagree; you need to shoot your LR rifles constantly or you will be subconsciously biased. I have a .338 WM with a B&C reticle. I shoot that at least once a day at 500 yards using only the reticle. The wind hold at 500 (225 Hornady SP) is far more than my .338 Lapua at 620. If I only shot that .338 WM, I would overcompensate when it came time to shoot the Lapua. Hitting something at 500 yards is infinitely easier than doing it at twice the distance.
I have said this many times, but the wind in the mountains at my CO place gust far more than the winds in the AZ desert. In AZ you almost always have mirage. I would also say the direction of the wind at my shooting site in AZ is almost always the same as at my target, but not so true in CO. I used to live in MN; when land is flat, the wind is much more consistent.
The worst wind is one that is fish tailing toward me or away. This is extremely difficult because a wind varying from 11 to 1 o'clock has a 1/2 full value either way. At 620 it doesn't matter much, but farther it becomes extremely difficult.
When I practice shooting in the wind I almost never take a second shot if I miss unless I want to confirm something weird (my 910 yard gong is up on a hill and once in a great while a "zero" wind is anything but). Correcting a miss isn't that difficult but you are not likely to get that chance hunting. In Colorado, I leave my rifles set up right outside the door of my loading room; when I see a wind condition that looks challenging, I shoot. Then I wait a while for a different condition. I normally take a shot at my 910 yard gong first thing in the morning but the wind is almost always calm (I do have to hold for spin however).
I don't practice on ranges with wind flags because they are too easy and you don't have them in the field. I video every LR shot I take in CO; it is a huge advantage. The bullet "puff" on the gong shows me the wind at the target the moment I pulled the trigger + TOF.
If there are rain drops, snowflakes, or weed debris blowing in the wind, they pretty much determine my wind call.
I do think shooting at one location leads to learning the local conditions and makes you think you are better than you really are. Shooting in the desert is a great way to "test" my wind skills after shooting for months in CO but something like PRS at different locations would be even better.
Until I got my place in CO and could shoot every day in various wind conditions, I really wasn't that great at wind calling. Being great includes knowing the wind condition that results in a high probability of missing or wounding, which you only learn by missing. I would say once your wind hold in MOA is twice your target size in MOA, your odds of missing increase rapidly. For example, a 10" target at 500 yards is 2 MOA; that means a four MOA wind hold is about max. At 1000 yards, that vital area is 1 MOA, so the max wind hold to assure a high probability of a hit is 2 MOA, which is not a very strong wind (it is a mouse fart if you shoot a 6.5 Creedmoor). The stronger the wind, the higher the standard deviation of the wind speed; combine that with TOF and you have two things working against you even if you are master wind caller.
Finally, I would add this: I got to "play" with the Trijicon Ventus when it was being evaluated. Sure, it didn't read wind past 500 yards, and it took a few seconds for it to read the wind, but it was amazing. I never missed at any range the day I got to use it. I never heard why they dropped it, but I suspect it wasn't a "cure all" - unlike laser rangefinders (and it had an outstanding one), the feedback had a very limited shelf life; by the time you measured it, the wind had likely changed. But knowing that the prevailing condition was 6 or 8 mph, for example, was huge. I was ready to fork over 15K for one.