“We/I can’t direct the wind, but we/I can adjust our/my/the sails” is a proverb that has been printed on many gift items, such as posters. American country music singer Jimmy Dean (1928-2010) is often credited for saying this on ABC’s Good Morning America program in 1987, but the saying had long been in print by then. African-American community activist and historian Bertha Calloway (born in 1925?) and American singer-songwriter and actress Dolly Parton (born in 1946) have both been credited with the saying, but it’s not been documented when they first said it.
 
The saying has had a long use in religious sermons and lectures. “You could not direct the wind, but you could trim your sail so as to propel your vessel as you pleased, no matter which way the wind blew” is from a religious lecture given by Mrs. Cora L. V. Hatch at New York’s Cooper Institute in 1859.  Howard Agnew Johnston’s book, Studies in God’s Methods of Training Workers (1900), also contains the wind/sails metaphor:
 
“We cannot make the wind blow, but we can adjust our sails in obedience to the laws of the wind, and they immediately give us their power to go where we will.”
 
   
15 January 1859, Daily Plain Dealer (Cleveland, OH), pg. 2, col. 3:
Mrs. Cora L. V. Hatch on Spiritualism
THE LAW OF GOD A UNIT.
(...)
You could not prevent a thunderstorm, but you could use the electricity; you could not direct the wind, but you could trim your sail so as to propel your vessel as you pleased, no matter which way the wind blew.
 
Google Books
Studies in God’s Methods of Training Workers
By Howard Agnew Johnston
New York, NY: International Committee of Young Men’s Christian Associations
1900
Pg. 13:
We cannot make the wind blow, but we can adjust our sails in obedience to the laws of the wind, and they immediately give us their power to go where we will.
     
4 June 1979, Daily Messenger (St. Albans, VT), “Three Minutes a Day” by Rev. John Catoir, pg. 4, col. 8:
The cardinal (Cardinal Leon Suenens of Belgium—ed.) is the acknowledged leader of the Catholic Pentecostal movement. Explaining the forces that come into play when people open themselves to the Holy Spirit, he said, “We cannot direct the wind. But we can adjust our sails.”
 
Google News Archive
27 February 1980, Spokane (WA) Daily Chronicle, “Shop with Sue” (advertisement), pg. 5, col. 7:
We can’t direct the wind, but we can adjust the sails.
 
Google Books
The Reader’s Digest
Volume 130
1987
Pg. 33 (“Quotable Quotes”):
I can’t change the direction of the wind, but I can adjust my sails to always reach my destination. —Jimmy Dean on “Good Morning America,” ABC.
 
Google News Archive
1 November 1989, The Rockmart Journal (Rome, GA), “Pioneers hear Houston,” pg. 10A, col. 4:
He closed his address with his motto—“Remember, we can’t control the wind, but we can adjust our sails.”
(Tillman Houston, president of the Telephone Pioneers, Dixie Chapter Number 23—ed.)
     
23 November 1995, Sun Journal (New Bern, NC), “School Times School of the Week: Bridgeton Elementary School,” School Times section, pg. 1, col. 4:
At Bridgeton School their motto reads, “We cannot direct the wind but we can adjust the sails.”   
 
Google Books
A Shining Thread of Hope:
The history of Black women in America
By Darlene Clark Hine and Kathleen Thompson
New York, NY: Broadway Books
1998
Pg. 240:
We cannot direct the wind, but we can adjust the sails.
BERTHA CALLOWAY
 
Google News Archive
28 February 1999, The Day (New London, CT), “Children’s reading,” pg. E3, col. 1:
Jimmy Dean once said: “I can’t change the direction of the wind, but I can adjust my sails to always reach my destination.”
 
Google Books
Daily Relaxation, Meditation, Inspiration and Peace of Mind
By Adalbert B. Devajay
Bloomington, IN: Authorhouse
2006
Pg. 35:
“We cannot direct the wind, but we can adjust the sails.” ~Benjamin Disaeli
 
Google Books
Problem-Solving Therapy:
A Positive Approach to Clinical Intervention (Third Edition)
By Arthur M. Nezu and Thomas D’Zurilla
New York, NY: Springer Publishing Company, LLC
2007
Pg. 11:
We cannot direct the wind, but we can adjust the sails. —Dolly Parton
 
OCLC WorldCat record
How to love
Author: Gordon Livingston
Publisher: Cambridge, MA : Da Capo Life Long, 2009.
Edition/Format:  Book : English : 1st Da Capo Press ed
Contents:
... We cannot direct the wind but we can trim the sails; ...
 
The Syreet
Kass: 15 Surprises for 2011
By Doug Kass 12/28/10 - 10:15 AM EST
(...)
There are five lessons I have learned since my first surprise list for 2003:
1. how wrong conventional wisdom can be;
2. that uncertainty will persist;
3. to expect the unexpected;
4. that the occurrence of Black Swan events are growing in frequency; and
5. with rapidly changing conditions, investors can’t change the direction of the wind, but we can adjust our sails (and our portfolios) in an attempt to reach our destination of good investment returns.