Your set up seems fine to me, but I think your problem is that you are trying to get into the straps too soon. Once you begin to plane, keep the board pointing a little below a beam reach until you gain more speed (board flat and not plowing). Then get into straps, front foot first while keeping the power on (don't sheet out). It's not unusual to "head up" a little to facilitate getting into the back strap. This works, but you must have good speed or you will do as you suggested above - "feels like I often tend to turn into the wind and then loosing speed and sail power."
I don't know what Roger's recommendation will be, but I normally "hook in" before I go for the foot straps. This tends to put more force/weight on the mast base and in the center of the board rather than all on my feet. This helps keep the board flat and reduces the likelihood of sinking the windward rail, which causes the board to turn upwind.
It takes some practice to find the correct movements and timing. Keep it up.
Formula 160; iSonic 111; HiFly Move 105; Tiga 263; '85 Mistral Superlight.
Maui Sails TR 11.0; 9.2; 8.4; 7.6; 6.6; Maui Sails Switch 6.0; 5.2; Maui Sails Global 4.5; 4.0.