It all depends on what your objectives are.
You'll notice that most air quality monitoring stations (the regulatory ones) have wind measurements with them and that's because the purpose of the measurements are not just "how much" but "where from" and "where to".
So, in principle, it is very useful to have wind information next to air quality sites.
Now, in practice that's much more tricky as the representativeness of a meteorological site is quite different to that of an air quality measurement. In general, you'll want to know where did the air that ended up in your sensor come from and that might be better served by data from a site further away.
Ultimately, there is no "right" answer for all cases so what I'd suggest it to try to identify what your objectives are (what are you going to do with your data) and then think about what else you might need.