That is such a misconception, actually lighter airplanes fly better in the wind than do heavy ones. Heavy ones just appear to fly better. It basically boils down to F=ma......once the wind accelerates your model it takes more force to stop that acceleration, a lighter model will take less.

A lighter model will appear to be getting bounced around, but actually it is maintaining its heading and altitude with almost no correction, while a heavier model will take some effort to maintain a constant heading and altitude, although appearing to be flying better the pilot is working harder to accomplish the same thing as the pilot of the lighter plane.