Precision shooting is always easier with no wind, but you definitely should get some practice in some no wind conditions and some with wind. If your worrying about wasting ammo because of the wind, you should definitely do some additional homework on your external ballistics. Try to stick with the same ammo and understand your velocities and trajectories. This will make your adjustments easier to understand. You don't mention if your precision shooting is at long distances or not or what your accuracy goals are. Wind is going to have minimal affect at short distances and really starts getting trickier at the longer distances.
Definitely focus on fundamentals of good marksmanship, prior to slinging lead long distances in windy conditions. As for mirage, are you looking through a rifle scope, spotting scope, binoculars or naked eye? If through optics, get your focus on your target and then adjust your focus approximately 2/3 the distance to your target to better view the mirage. Also, if wind is gusting and then letting off, wait for it to die down some prior to the shot.
Give us some ideas of what type of precision shooting you are interested in, your goals for accuracy, rifle and load data, distances you are shooting, etc, and better advice will be easier to discuss