Wind is defined as air in motion. This movement is caused by warm air rising producing a low pressure area and cooler air replacing it from an area of higher pressure. The greater the difference in pressure between these two areas, the stronger the wind. Wind speed and direction can be found by using a wind vane and anemometer.
A fun activity might be to heat a surface and close by place a container of ice. Place a pin wheel or an object that releases smoke between the two surfaces to see if air motion can be detected.