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Basically, a wind shield should be a fence around your stove to deflect the wind from both the stove and the cooking pot. It should not totally enclose the stove: there must be room for air to get in.
A windshield has several benefits: an enormous saving on fuel, faster cooking and greater safety. It does not have to be very complex or expensive. But making your own is so simple.
Basically, a wind shield should be a fence around your stove to deflect the wind from both the stove and the cooking pot. It should not totally enclose the stove: there must be room for air to get in. This air should not have to come down from the gap at the top; it should come from low down. You also need room to adjust the stove in many cases. There are two ways of doing this: leave the ends of the windshield open on the downwind side to make a vertical gap, or have holes around the base of the windshield. Some people claim the verticval gap should be on the upwind side rather than the downwind side, as the latter may acually suck air out from inside. This depends somewhat on the stove: alcohol stoves and solifd fuel stoves are quite sensitive to this, but others are less so. Anyhow, the windshield should reach a bit above the top of the stove and up the side of the pot, depending on how you cook. If you are using a large pot, as is normal, there should be a clearance between the pot and the windshield of 15 - 20 mm. It isn't critical, provided the windshield doesn't mind getting hot.
What does the windshield really do? A technical answer follows. Heat transfer from the stove to the pot is by radiation from the flame and conduction from the hot gas to the pot exterior. The radiation isn't very significant with a typical blue stove flame (compared to a glowing bed of coals say), so it's conduction which does the work. You want that hot gas to cling to the side of the pot so the heat can transfer to the pot surface. If there is a wind blowing the flame sideways, all the upwind side of the pot is going to miss out on any heat transfer, and a lot of the hot gas on the downwind side is not going near the pot. The efficiency of heat transfer will drop alarmingly. In fact, many walkers have reported being unable to get a pot of water to boil when running a stove in a medium wind in the mountains. So the first thing the windshield does is to prevent the wind from blowing the hot gas away. The second thing the windshield can do, if it is fairly close to the pot, is to force more of the hot gas to flow past the wall of the pot. This increases the efficiency even more, and is a good reason why you should use the windshield even in a hut. Given this description of what's going on, you can see why the little so-called 'windshields' some burners (especially the cheaper steel gas ones) are supposed to have built into them will not be very effective. Actually, they are radiation shields - see below.
So the hot gases are going to flow up inside the windshield: this means that the windshield is going to get hot, even up around the top. This fact limits the materials you can use for it. Paper and plastic won't do, and Sisalation is not recommended, even the foil-coated version. I've tried it, and the corner kept burning ... Light aluminium sheet or heavy aluminium foil is excellent and common. Most mass-market stoves these days come with such a windshield, delivered as a folded strip of soft aluminium foil. You can also use very thin titanium or stainless steel foil, but getting those materials in small quantities is both difficult and expensive.
One word of caution is needed here. If you make the gap between the windshield and the pot too small and have a minimal gap between the ends of the windshield, you will be bottling up very hot air inside the windshield. This might or might not cause combustion problems (carbon monoxide), but will almost certainly transfer a lot of heat into the fuel tank or cartridge if it is inside the windshield, which could then get too hot. You must ensure this does not happen! To check this, touch the cartridge with your hand. If you can do this without an 'ouch' response, it's not too hot.
The biggest problem people encounter is finding a supply of suitable material at a reasonable price. There are three simple sources: aluminium dampcourse from a hardware shop, large heavy disposable baking dishes from supermarkets, and very thin aluminium sheet from some hardware stores. The dampcourse is moderately robust even if a bit heavy, but it comes in a large roll which costs a bit. If a group of you (or a club) can get together to buy a roll, this is viable. I have used it myself. The baking dishes are a cheap alternative: you buy one or two and cut them up and join several bits together somehow. They won't last all that long, but they are very cheap and light. The thin sheet aluminium is probably the best of the lot, but getting really thin hard sheet aluminium in the 0.3 - 0.5 mm range can be difficult. Recently I found some fairly thin stuff in small sheets at some large Bunnings stores.
I have also seen common cooking foil folded up a couple of times to make a small windshield. It was for a small metho stove of the PepsiCan variety, and not very high, but it was awfully light (18 g)! Some of the vendors of methos stoves in America seem to be able to get hold of a much lighter fairly hard aluminium foil - I wish I knew where, as their low windscreens are all under 20 g. These are lighter than what I can buy here in Australia. The Vari-Vent model has variable holes around the base and is really good. And finally, BackPackingLight.com sells a very light titanium foil windscreen with their titanium Esbit stove: that is really thin and ultralight (7 g)! Unfortunately, it is too low to be useful with an upright cartridge stove.
This can be even more essential. There are several sorts of radiation shields for different sorts of stoves. The cheap (steel) gas stoves often have one built-in: a sort of metal dish under the burner. They call it a 'windshield', but this is wrong. It is designed to block the heat radiation from the burner from hitting whatever is lower down on the stove. In the case of gas stoves this is mainly the gas cartridge, and here we could have a serious hazard if you don't use one during lengthy cooking sessions. The radiation can heat the cartridge to the point where the gas pressure in it rises and the stove starts to flare or roar. The second reason for using a radiation shield is to protect the control handle or control knob. This can get very hot from the radiation, leading to damage if it is plastic and burnt fingers when you try to turn the flame down. The burnt fingers can of course lead to other more serious accidents too, when you miss turning the stove down, or send it flying in pain.
It is curious that many of the cheap gas stoves have a radiation shield or windshield, and often fixed in position, but the more expensive gas stoves often do not. The problem is that you cannot easily fold the radiation shield up, and it adds weight to the stove. Weight is sometimes a boasting point for the vendors. Anyhow, if you don't have a radiation shield you should make one, carry it, and use it when needed.
A radiation shield can be a simple disk of aluminium foil with a small hole in the middle and a slit out to the side. When you assemble a gas stove you slip this disk over the column of the stove just above the cartridge. It is clearly shown in one of the pictures above. With other liquid fuel stoves you arrange the shield below the burner and the air inlet but above the controls, any fuel tank and any fuel hose - if possible.
There is an Optimus 6R stove which relies on the radiation from the burner to pressurise the petrol tank to drive the burner. There is a small radiation shield there to stop things getting out of hand - in theory. This shield does not always work however, as described in the pancake story.
All that said, you do not have to use the radiation shield all the time. I don't put it on my gas stove when I am just making a cup of tea for two. The cartridge gets warm but not hot in that time, and the warmth ensures the butane boils. Sometimes in winter I don't put it on when cooking dinner either: the butane needs some heat inflow to keep evaporating, after all. The key thing is to monitor the temperature of the gas cartridge - for 'too hot' and for 'too cold'. If you can put your hand on the top of the cartridge without it feeling uncomfortable (no 'ouch' response), the cartridge is not too hot. If the cartridge is getting close to being 'hot' and you have more cooking to do, it may be time to slip the radiation shield on. On the other hand, if it is a cold night and the cartridge feels really cold, you could leave the shield off to help warm up the gas. Remember: the butane will stop evaporating around freezing point: you want the cartridge warmer than that. Some care and common sense are indicated, and the responsibility is all yours