The commercial pilot was approaching an off-shore oil platform and positioned the helicopter to land "into the wind." The intended flight path crossed over a crane with a windsock on top. Having observed the obstructions, the pilot continued the approach to the helideck. As the helicopter overflew the crane, the helicopter's tail rotor contacted the windsock resulting in substantial damage to the helicopter's tail boom section. The pilot was able to land the damaged helicopter on the oil platform's helideck.