I think the following quote does a good job of explaining what it is that Santiago learns from changing himself into the wind.
The boy reached through to the Soul of the World, and saw that it was a part of the Soul of God. And he saw that the Soul of God was his own soul. And that he, a boy, could perform miracles.
Santiago needs to turn himself into the wind in order to save his life, but he doesn't know how to. Santiago is doubtful that it can actually happen at all, but he proceeds to enter into a conversation with the desert, the wind, and the sun. Each of those pieces of nature is not capable of helping Santiago, but the sun tells him to "speak to the hand that wrote all." This person/thing/entity is the Soul of the World, and Santiago learns something very special about the Soul of the World. The Soul of the World is a part of God and God is a part of...
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