Since the typical sailing canoe is a combination of various store-bought and home-made, home-designed parts, it's hard to be very specific when discussing performance issues. Add-in the fact that all the hulls (which tend to be a fairly important part of a sailboat) are different sizes and shapes and top that off with the fact that the boats are extremely sensitive to fore-and-aft trim and things get even more vague.
Lateens aren't known to be extremely high pointers, but aren't generally too bad. A Sunfish, for example will sail decently to weather for a simple boat. Peaking-up your yard to a steeper angle is probably worth trying. Gaffs and yards with higher peak angles tend to create more lift and point better than those at lower angles. Snugging your outhauls on both the yard and boom might also help as it will flatten the sail a bit and flatter sails sail upwind better. Since there isn't a good way to adjust these on the fly, you may lose some performance on other points of sail where more draft is helpful, so the aim is usually to try to find the best all-around outhaul tension and live with it on all points of sail.
If you're pointing better in heavy air, it's possible that it's being at least partially caused by the spars bending more due to increased wind and mainsheet tension. This tends to use up the sail's luff and foot curves and flatten the sail into a better pointing shape. Whether or not this is happening depends mostly upon how the sail was cut and how much spar bend was figured into it's design. At some point, nearly every spar will bend enough to defeat the luff and foot curves' draft-creating abilities and the sail will go pretty flat. Ideally, this point will be caused by the wind pressure and sheet tension of your typical upwind leg in the conditions that you most often plan to sail in, but it's always a compromise based upon estimation and not an exact science.
Heeled-over hulls (common in higher winds) also have a tendency to round up into the wind more than hulls sitting flatter on the water. This tends to create more weather helm and correcting that with the rudder to stay on course causes more drag, wasting power in the process. Some boats (like the Sunfish, for example) sail much more efficiently to weather when kept flat by hiking than they will if you let them heel way over. On the other hand, the hull of a boat that's heeling and wanting to round up into the wind can sometimes carve a slightly higher course through the water, just from the hull shape/water interaction. Extreme angles of heel are almost never particularly efficient in terms of either speed or pointing angle, but it's worth doing some fairly careful test sailing to try to figure out what amount of heeling seems to work best when trying to point. You may even find that in certain conditions, the boat points higher flat and in other conditions and wind speeds, it points better with a moderate amount of heel. Fore-and-aft trim can be a huge factor in sailing canoe handling since it can drastically change the under water shape of the hull, both how it goes through the water and what parts are creating lateral resistance, so that's another area for experimentation.
I'd stick two or three telltales on the leech, primarily to be able to see when the sail is over-trimmed. A telltale hiding behind the sail means that at least that portion of the sail is over-trimmed and needs to be eased out until the telltale is flying. This will help to insure that you're not trying to point with half of your sail stalled-out. I'd also either build or buy some kind of small, bright-colored buoy that will show up from a couple hundred yards. A kids' play ball with a string attached and a rock for an anchor will work. The reason is that it is much, much easier to test various configurations of sail trim, heel angle, fore-and-aft trim, etc. (as well as polish your sailing technique) if you have a specific target to sail toward. With two buoys, you could set up a windward/leeward course and you would be amazed at how much you can improve your sailing and how much better your testing will be when sailing toward fixed objects that don't move and which eliminate any fudge-factor.
There are certainly other sail types which will usually point higher than lateens, but most are taller, higher-aspect sails with longer, more vertical luffs. Even so, switching types doesn't automatically guarantee any kind of vast improvement and I wouldn't jump ship on the lateen yet. It's not unusual to spend a couple seasons sailing a new boat before you really get the hang of it and are getting the best performance out of that particular rig. Quality practice and testing time is the best bet for the moment. It's a tough job, but somebody's got to do it!
Sorry I couldn't be more specific, but sailing canoes are a compromise made up of estimations and variables and every one is it's own unique equation, waiting to be solved. If it was too easy, it wouldn't be any fun.
