In the scheme of things, 3500ft isn't much over ~1000km between Vancouver/Calgary. Winds can be variable and adjust. I could see doing it either direction but if it were a case of more consistent winds (e.g. seen that more in Atlantic Canada) then I would pick climbing over headwinds.
On a more general touring sense, I've sometimes considered: rain vs. headwinds vs. climbs - as far as which is a larger concern.
The first level answer is "it depends" since each of these three variables can have a wide range, i.e. a light headwind isn't the same as a strong gale in open country; intermittent showers are the same as cycling in remnants of a hurricane with steady rain all day long; a gradual climb isn't the same as short stretches of 10% or more...
However, I'm probably in the category of being most demoralized by persistent headwinds day after day, and next by steady cold rain and least by some climbing.