//South Westerly, but I've always thought the definition should be the way the wind is blowing and not from where it originated.//
It's of greater interest and usefulness to know where it has come from rather than where it is going. In the UK, for example, the prevailing wind is from the south west or west (that why most airport runways are aligned roughly east to west and have "09" and "18" - or numbers close to those - on each end). Such winds have travelled over the Atlantic and since the sea maintains its heat more than the land that air is usually mild, even in the winter. If we have a North wind it is from the polar regions and so will be cold. From the South it will have travelled from lower latitudes and so will generally be warm. Once it's passed us by, it's not really of much interest to us. Those who were Boy Scouts or Girl Guides will remember the 32 point compass:
https://filebin.net/qmyja5hs703hmr3c/32_point_compass.PNG?t=axzra1ig