First they tend to go SE, then S, W, NW and finally N. Obviously, when it is blowing out of the North the cold front has arrived. The trick is to leave at the right time. If it is a slow moving front, it is possible to leave when it is blowing out of the South. As you make your crossing the wind will be on your beam, and then it will clock favorably and be on your stern as you make your passage. Hopefully, you will reach a safe port before it goes North.
Timing is of the essence.
Also there is the real possibility that the wind will back to SE or E for a while before is swings quickly to the North. Another strategy is to leave during a WEAK cold front. Now if the winds are blowing lightly at 10 knots or less, things aren't going to get bad in the Gulf Stream and you have a nice beam wind. This is what we generally do. Of course there are days in the winter time when the wind is very light or even non existent.