In moderate or above winds it is best to turn the Xenon so that the mast is fully to leeward as it comes up. A week ago we capsized after a gybe (my fault too slow on the side) and we landed with the mast on a windward stern quarter. We did not want to risk the wind getting under the sails and doing the righting for us - see below. The strength of the wind was such that we deliberately raised the mast only partially out of the water, sufficient to allow the wind to slowly spin the dinghy, laying on its side, until the mast was directly to leeward.  We waited patiently for the spin to complete, only then fully righting the Xenon with all sheets loose and gennaker pulled in.
Shortly after purchasing our dinghy we had a vicious capsize in strong F5/F6 winds. We attempted to raise it whilst the dinghy was near head to wind but I suspect the wind may have shifted because a sudden blast whipped the dinghy up and it crashed over on the opposite site - a narrow escape for me. Admittedly the winds were dire (and with more sense now I would not go out in such conditions) but that experience taught me to be wary of the rudder when righting and, if in the water, to hover just to the stern of the hoop. In that position the crew in the water would be clear of the mast and rudder if a strong wind did manage to get under the sails and whip the dinghy over.
My doubts about turning head to wind are that turning head to wind may be difficult to do in strong wind conditions, secondly there is no guarantee that the dinghy will remain head to wind as the righting takes place. Using the mast leeward technique gives you some degree of control, in the worst case the dinghy gets blown back down again but this is unlikely to be violent or damaging - just tiring. As the dinghy comes up the boom swings out so you will need to counterbalance this action with your weight.
Even in light winds I am not sure that there is any significant advantage in turning the dinghy head to wind, eg. the boom will aways swing out under gravity as the mast lifts. However the key factor is "have all the sheets been freed?" if not the dinghy will possibly attempt to sail or capsize on the other side. Whatever the wind free the sheets.
Anybody had other experiences, of other techniques, let us know.
 
On the point about the mast stuck in the mud: this can be damaging and expensive. Do you use the flotation pack? It does not greatly inhibit performance and should always be used when not racing, and even then its benefits often outweigh the very minor performance hit.  Only when I consistently come second in races will I abandon the float pack. We frequently use a double pack which makes a turtle very unlikely indeed. Also last week a dinghy with a carbon mast stuck it in the sticky mud and the rescue boats had a terrible task of pulling it clear and at the same time taking care not to damage it.

Many thanks David - that's really helpful. In the guide you mention:
"One excellent feature of the Xenon is that as you become familiar with it you will get plenty of warning that a capsize is coming and in our experience usually one of the crew manages to climb over the side and step on to the centreboard."
Do you mean by this that "you will get plenty of warning that a potential turtle is coming"? (In other words that the boat has already capsized but by climbing out quickly you could prevent it turtling).
Btw - any chance of enabling comment notifications in the drupal admin? I'd like to get notified of responses.