The effects move with you.
The 5e SRD Appendix C details how the planes of existence behave. There's nothing to suggest magic behaves any differently in the ethereal plane than the material plane (outside of some spells that have explicit interactions with the ethereal plane). The effect would move into the ethereal plane with you and remain active at your new location. It would cease to function where you used to be.
Project image remains where it was placed because it does not follow you or remain centered on you.
Floating disk cannot move with you as you fly because that case is addressed in the spell description:
It can move across uneven terrain, up or down stairs, slopes and the like, but it can’t cross an elevation change of 10 feet or more. [...]
If you move more than 100 feet from the disk (typically because it can’t move around an obstacle to follow you), the spell ends.
Emphasis mine.
Mirror image and warding wind do not impose restrictions on where the effects can follow you, so there is nothing to indicate planar travel is off-limits.