OK, maybe i'm the only one, but this may not be the most flattering looking accessory to add to your DSLR, but you can't argue it's functionality. If you caught my little DSLR video demo with the IndieHardware stabilizer where I walked outside in a breezy parking lot, you can hear the wind going crazy from the internal microphone. That video is found here: http://cheesycam.com/first-attempt-indiehardware-stabilizer/

DIY DSLR Microphone Windscreen

Koji Honda shows us how his little DIY DSLR Faux Fur windscreen is put together and goes on and off fairly easy. You can find the step by step image gallery for this DIY DSLR Microphone Windscreen on his Flickr account.

If you're the type that relies on that internal microphone audio to be as clean as can be, possibly to mix in a bit of ambient audio, then you may want to look into something like this. This is also a very helpful tutorial on the materials that can help you build other windscreens, possibly a blimp for a large shotgun. If your plans are small, the only drawback with this DIY is that you may need to purchase Faux Fur and Foam in a larger than needed quantity. Since you may end up buying 20 times more material than you need, Koji also has his little Windscreen for sale found here: DIY DSLR Microphone Windscreen

An excellent tip through the comments, was clean audio from your camera would make things much easier when syncing in post using PluralEyes software. Good example of why you could use good audio from your camera.