Hey Galuzan, 
Really great question. I find the same problem when I go home to Scotland and take a walk along the beach. It’s tricky! 
My biggest tips: 

• Pre-style – Use a product to boost the hair and give it a good foundation. Even a sea salt spray would be a good idea. 
• Use a high-hold product that doesn’t dry hard. A clay would be perfect. Matte (non-shiny) in finish. We have loads of reviews for clay here but I currently really love Moroccanoil Texture clay. 
• Hairspray! Set it all in place. 
• And finally… avoid the wind when you can. Ha ha. Easier said than done I know. 

 
Does this help?