One important thing to remember is that there is next to no force from the vane when pointing into the wind. I used to have to replace the tiny ball races in the mariner wind vane regularly (the pot was magnetically coupled to the vane).
If you want and kind of accuracy you'll have to keep the friction down to a minimum.
If you go fully mechanical, think servo mechanisms driven by wind power.
bill
edit. Think how this fan tail is designed to keep the post mill facing the wind.