I have the same wind problem on my Smoke Hollow if I try to run anywhere around 250 or less. The flame just gets so low that it's easy to blow out. Skirting the legs is pretty easy but make sure you can easily remove whatever might need to be removed so that you could get at the burner venturi tube to clean out spiders or whatever.
For bricks, you can use anything that's been fired. The concrete patio bricks are not good for this. They'll crumble after repeated heating/cooling. If it's really cold out and you have several bricks in your smoker, it may take more time to preheat it, but in your case I think the reward will be more stable temps once it's up. And by "more time" I'm talking 15 or 20 minutes.... POSSIBLY a tad more if you're in the depths of winter and it's hovering around zero (which I don't think you have to worry about where you are). I have 2 bricks in mine right now. One on either side of the bottom opening where the burner is. Preheated about 15 minutes yesterday and stuck a 13 pound turkey in the smoker (turkey was at 38 degrees) and the smoker was back up to temp in just a few minutes. So I'd have to say the thermal mass of the bricks is helping.
So a FIRED brick is ok, but a brick that is simply molded (like a patio brick or those retaining wall ones) is not good. Fire brick if you can get it cheap (or free) but at the temps we run in the smokers (under 400 degrees....unless you're real adventurous), it's really not necessary.