In a step-down transformer, the primary winding will have a higher resistance. The resistance will be low, but there should be a noticable difference unless you've got a really big transformer.
If you're trying to identify what a winding is, then here are some notes:
- If 3 wires have continuity, then you probably have a center-tap winding (+, 0, -)
- If only 2 wires have continuity, then that is a simple winding.
- If 4 or more wires have continuity, then you have a multi-tap transformer winding.
Transformer windings have a phase relationship, but it's typically not important for power supplies. Unless one of the wires has continuity to the transformer core, the polarity doesn't matter.
A relatively safe way to test transformers is to hook up a small AC voltage (1-5VAC) and measure the voltages across the other windings.