No you don't need to turn it off. Wind noise will not be eliminated whether noise cancelation is on or off.
Noise canceling works on sounds that are at least a foot or two from the phone. There are two microphones on the iPhone, one for voice, one for noise canceling. When a sound reaches both microphones, it works its magic through phase inversion and other algorithms to eliminate the background noise. When wind blows across the microphones, each microphone hears a different signal and thus, no noise canceling is done.
There are headsets that have wind noise reduction circuitry, you might try one of those. Plantronics/Poly is one such company. Go to www.poly.com if your interested. There are dozens of other companies that make them as well. Do a Google search for "wind noise canceling headsets".