If you are reefing a conventional mainsail (i.e., not an in-the-boom or in-the-mast one), then before you pull down the reef on the clew, you should allow the boom to rise because it will put a lot less strain on the lines, you're back, winches, and sail. That means the vang SHOULDN'T be tensioned then. After you get the reef tied-in, then you tension the vang and tighten the sheets.
Other than that, I think, as Don point's out, it is really to shape the sail. Depending on how your sail is cut and how lumpy the water is, you would adjust the general rules a bit. In heavier air, you generally want to flatten the sail so the vang will be tighter; and conversely in lighter, you let the main sail get a bit fuller. The twist issue varies a bit depending on the wind gradients you might be sailing in. (An example, in some situations there is a difference in the velocity and direction of the wind as you move up from the water.) Also, in variable conditions, you can set the sail so that it works in more effectively as the wind speeds oscillate slightly.
You've noticed that COLD air sometime has a vertical component to the gusts. The pressure is greater with cold air than the same speed in warmer air because the "gas is denser" as temp drops. There are a lot of variables.
I wouldn't fixate on vang first, I'd worry about the overall position of the boom, then the outhaul, then the vang, then (maybe) halyard tension. Like I said, the condition of your sails, how they were originally cut, how much tweaking you really want to be doing (and how distracting those changes are to your maintaining course, etc.) are something that can drive the crew crazy.