There is an old expression involving "which way the wind blows"—but according to "The Packet," in Porcupine's Gazette (March 1799), reprinted in William Cobbett, Porcupine's Works; Writings and Selections, Exhibiting a Faithful Picture of the United States of America (May 1801), it runs as follows:
The conduct of the American magistrates towards the British, and that towards the French, exhibit a very curious contrast. I myself have seen the crew of a French vessel parading the streets of Philadelphia with drawn swords ; I have seen them drive the people before them like sheep running from wolves ; I have seen them cut and slash the constables just as if they were so many of the army of an enemy ; and I have seen all this pass off with impunity. Never did the Sovereign People of Philadelphia complain of this ; never did they assemble in hundreds to seize hold of the Captain, and drag him before a magistrate. But, behold how the Sovereign's resentments broke out, and how diligent the magistrates and their subalterns were, the moment they heard that one of the British Packets had withheld a quarter of a dollar from a carman!—"Straws" (to make use of Callender's old hackneyed proverb) "Straws serve to show which way the wind blows." And these little indications of the Sovereign's sentiments, of his tame submission to France, and his Lynx-like watchfulness for occasions of venting his hatred against Great Britain, clearly prove that a patched up peace with the former power will very soon be followed by a war with the latter. Let the British Merchants and Manufacturers look to it!
Cobbett calls it an "old hackneyed proverb, and uses the expression in a figurative (and indeed explicitly political) sense. "Callender" seems to be James Callender, who published The Political Register; or, Proceedings in the Session of Congress, Commencing November 3d, 1794 and Ending March 3d, 1795 (1795) and The American Annual Register, or, Historical Memoirs of the United States for the Year 1796 (1797). Google Books does not offer readable versions of either of these text, however.
Other noteworthy eighteenth instances of figurative uses of "which way the wind blows" include a letter from Richard Spaight to Governor Martin of North Carolina, dated March 12, 1784, reprinted in The Colonial Records of North Carolina, volume 17 (1899):
With respect to the British Court we should I think be constantly on our guard, and impress strongly on our minds, that tho' it has made peace with us, it is not in truth reconciled either to us, or the loss of us ; but still flatters itself with hopes, that some change in the affairs of Europe, or some division among ourselves may afford them an opportunity o recovering their dominion, punishing those who have most offended, and securing our future dependence. It is easy to see by the general turn of the ministerial newspapers ; (light things indeed, as straws and feathers but like them they shew which way the wind blows) and by the malignant improvements their ministers make in the foreign Courts of every little accident or dissension among us; the riot of a few soldiers in Philadelphia, the resolves of some Town meetings, the reluctance to pay taxes, &c., &c., all which are exaggerated to represent our Governments as so many anarchies, of which the people themselves are weary, the Congress as having lost its influence being no longer respected ; I say it is easy to see from this conduct that they bear us no good will, and that they wish the reality of what they are pleased to imagine.
And from Joshua Reynolds, "Discourse, VII, Delivered to the Students of the Royal Academy, on the Distribution of the Prizes, December 10, 1776" in The Works of Sir Joshua Reynolds (1809):
It is in reality from the ornaments, that arts receive their peculiar character and complexion ; we may add, that in them we find the characteristical mark of a national taste ; as by throwing up a feather in the air, we know which way the wind blows, better than by a more heavy matter.
But figurative use of "know which way the wind blows" goes back almost a century earlier than these instances might suggest, as we see in this instance from Alexander Pope, "Historical Letters: Letter III" (October 26, 1688), reprinted in Mr. Pope's Literary Correspondence, volume 4, second edition (1736):
The too near neighbourhood of Holland has thrown our Administration into a violent Ague ; the hot Fit and the cold quickly succeed each other. Public Justice is in a fluctuating Condition, it depends on the Winds and the Weather, like the Rate of Insurance of Ships on their Voyages. By the Proceedings of the High-Commission-Court, we know which Way the Wind blows ; 'tis a mere Barometer, with this Difference from the common Experiment with Mercury, that the Credit and Power of that Court rise high with a Westerly Wind, or a Storm ; an Easterly Gale sinks them down to nothing.
And more than a century before that, in John Heywoode, A Dialogue Contenyng the Number of the Effectual Prouerbes in the English Tounge, Compact in a Matter Concernunge Two Maner of Marryages (1562), reprinted (with modernized spelling) in The Proverbs, Epigrams, and Miscellanies of John Heywood (1906):
When I saw your manner, my heart for woe molt; / Then would ye mend as the fletcher mends his bolt: / Or as sour ale mendeth in summer: I know / And knew, which way the wind blew, and will blow. / Though not to my profit, a prophet was I: / I prophesied this, too true a prophecy.
An early instance of not needing something to know which way the wind blows appears in a letter from Mrs. Thrale to Samuel Johnson, dated November 11, 1778, reprinted in Hester Piozzi, Letters to and from the Late Samuel Johnson, LL.D., volume 2 (1788):
The speech in this place [Brighthelmstone] is, how we escape the melancholy months that shew a decaying year, because there are no leaves to fall, forsooth.—But don't you know April from November without trees? Methinks, wanting woods to tell the seasons, is as bad as wanting a weathercock to know which way the wind blows. Here is Mr. * * * * *, however who talks all about taste, and classics, and country customs, and rural sports, with rapture, which he perhaps fancies unaffected was riding by our chaise on the Downs yesterday, and said, because the sun shone, that one could not perceive it was Autumn, for, says he, there is not one tree in sight to shew us the fall of the leaf; and hark! how that sweet bird sings, continued he,just like the first week in May. No, no, replied I, that's nothing but a poor robin-redbreast, whose chill wintry note tells the season too plainly, without assistance from the vegetable kingdom.
Subsequent instances follow a similar pattern. For example, from A.T. Cabot, "Science in Medicine" in The Canada Lancet (January 1898):
The first case [encountered by a family doctor of fifty years ago], perhaps, would be a broken leg, then a pneumonia or dysentery, an ophthalmia, a middle-ear infection, a confinement, and a case if mania. To each of these various cases he would apply himself with trained powers of observation, often noticing and getting guidance from slight physical signs or movements of the patient which now pass unnoticed by the modern clinician. For the latter, with his instruments of precision, his clinical thermometer, his modern stethoscope, his stomach-tube , his specula, his blood count, and various other microscopical examinations, has more certain guides to a correct opinion, and does not need observation of the lighter straws to see which way the wind blows.
The statement "you don't need a weatherman to know which way the wind blows" seems to be Bob Dylan's own formulation. However, it is built on the centuries-old popular observation that "straws [or a feather] will show which way the wind blows." Connecting the dots, it seems obvious that if tossing straws or a feather into the air will accurately indicate which way the wind is blowing, there is no need to depend on a meteorologist to make the provide the same information. This goes for figurative winds, straws, feathers, and weathermen as well as for literal ones.