About the light part, you'll find more informations about this at wikipedia's Mirage article.

I assume a similar explanation works for sound transmission.

It does. That's why you can measure wind speed with the time it takes for an ultrasonic sound wave to travel between transducer/receiver pairs, like a Sonic Anemometer does.  

Wind does alter the speed of sound between two stationary points. You can measure wind speed by measuring the time it takes ultrasonic pulses to travel between transceiver pairs, like in a Sonic Anemometer - the greater the lag, the greater the wind's affect. I don't think you see that same effect if your measurement points were moving with the air mass in question, though.

Though not, literally snatched away, it will get louder downwind and softer upwind.

Sound carried by the wind, passes through different wind speeds.

The slower speed near the ground bends the waves directing them downward to the listeners ears. It follows that there would  be a similar effect, aiming the sound up and away from you when you are upwind from the source.

The sound of a jet plane overhead on a windy day varies much in volume and tonality. At some instants, almost silent.

Snatched away?

All of what I hear about telescopes and image distortion, talks about warmer and cooler air, density change distortions and the efforts to cancel them. They never close down because the wind blew their image away.

You can do an experiment to demonstrate what happens. For the experiment you will need a swift flowing stream with a flat sandy bottom, so that there are no ripples, a still pond, a bag of small stones, a waterproof flashlight and three bottles of beer.

Go to the pond first, settle on the bank and open a bottle of beer. Now throw a stone into the water and watch the ripples spread out in a circle. At any given distance the riples are the same amplitude no matter what the direction. You are actualy seeing what happens to sound waves in still air. Drink the beer.

Now go to the swift flowing stream. Place the empty beer bottle on one bank and ritire to the other bank. Drink another bottle of beer and place the empty on the bank directly opposite the first bottle. Now throw a stone so that it lands in the water in line with the two bottles. Observe what happens. You will see that the patern of ripples moves downstream with the flow of water. At a given distance from the point at which the stone hit the water, the ripples will be of greater amplitude down stream than they are upstream. You are seeing what happens to soundwaves in a moving stream of air, wind. Now throw another stone in the same way. Look at how the ripples spread across the stream. The ripples will reach closer to the banks down stream than they do directly in line with the bottles. This is what is happening in air when you say that your voice is being "torn away by the wind".

Now settle wond and wait for dark while you drink the third bottle of beer.

Once it is dark, switch the flashlight on, kneel down on the bank and lower the flashlight into the water pointing it at the bottle on the other bank. Do you see the beam being bent down stream? No you do not. The wind does not bend the beam either.

If you do see the flashlight beam being bent, use leonade bottles the next time and not beer bottles.

Remember to pick up your bottles and take them home with you.