Purchase a sun hat with a chin strap. There are a variety of floppy sun hats and fisherman hats that have adjustable chin straps. When you are out on the beach on a windy day, push the self-adjusting clip on the chin strap close to your chin. Even if the hat blows off of your head, it still will stay on your neck.
Use a hat clip. People who fish or sail use sun hats with hat clips. The clips often are small and made of metal. They attach to your shirt collar or bathing suit's top strap on one end and to the hat on the other with a short cord.
Wear a baseball cap. Women's sun hats with floppy bills and a glamorous, Old Hollywood feel are attractive and functional. But on a windy day, a baseball cap with an adjustable head strap is a cover that will keep the rays off of your face while staying on your head. Make sure the head strap, which rests on the back of your head, is snug.
Exercise preventative measures such as sitting under an umbrella or placing your hand on top of your hat. If you take off your hat, put it in a beach bag or keep it in place on your towel by placing a book or two on the brim.