You've made a very good point. As the windiest place on earth, Antarctica should be the most obvious place to use wind power, a few details:
It's so windy in Antarctica that wind generators can be damaged by the very strength of the wind they're trying to harvest.
Antarctic bases don't use that much power. Like anywhere else in the world, storing the power at times of plenty for the times of no wind poses a problem. There's no "grid" of any kind for the excess power to be passed on to.
Fuel is always brought in by ship or overland wherever possible as this is the cheapest option and economics will always prevail, so while not ideal, the current system is not as wasteful as it may seem.
The Australian's are ahead of the rest in using wind power for Antarctic bases, but then, they do have a base in the windiest place on earth - Mawson station http://www.aad.gov.au/default.asp?casid=763
Wind power in Antarctic goes right back to the "Heroic Age", Roald Amundsen amongst others had a windmill onboard his ship, the Fram
to generate electricity when he made his historic South Pole journey in 1911. The windmill was damaged at one point by excessive winds however.