That would be a great thing to have!
When a sudden gust hits the boat and it swirls into the wind, what's usually happened is that the boat heeled so far that the rudder lost control. Most boats are set up to naturally turn into the wind if they lose rudder as a safety function. (It doesn't feel very safe when you're on a boat that does it and because the wind pressure is suddenly off the sail as the boat comes into the wind it sometimes capsizes. A sailboat's just no fun when the keel's pointing up and the mast's pointing down.)
I'm thinking that what causes the boat to turn in a gust might keep it from being able to be kept in control by steering -- but maybe that's not true. It's worth thinking about...