In 2006, Wein co-wrote and directed Unlocked, a short psychological drama starring Olivia Thirlby executive produced by Stephen Daldry. It was an Official Selection at the Tribeca Film Festival, the Gijon International Film Festival in Spain, and voted one of the "Best Short Films in the World" by Indy Mogul.

Wein's debut feature-length film was Sex Positive, a documentary about gay hustler and AIDS Activist Richard Berkowitz. Sex Positive was winner of the 2008 OUTFEST Grand Jury Prize for Best Documentary, and an official selection at the 2008 South by Southwest (SXSW) Film Festival, London Film Festival, Independent Film Festival of Boston, and other film festivals around the world. Regent Releasing distributed the film theatrically in North America. It has been released in 8 foreign countries, most notably at the BFI in London. Sex Positive was released on DVD June 2010.

Wein's first feature-length narrative film was Breaking Upwards (2009), starring Zoe Lister-Jones, Julie White, Peter Friedman, Olivia Thirlby and Andrea Martin. He co-wrote the screenplay with Peter Duchan and Lister-Jones. Breaking Upwards explores a young, real-life New York couple who, battling codependency, decide to intricately strategize their own break up. The film was shot on location in New York and Brooklyn on a budget of approximately $15,000 and lauded as an Example of sweat equity in the indie film industry. Breaking Upwards premiered at the SXSW Film Festival in March, 2009.

Wein is the Director of the independent feature film Lola Versus (2012), his second collaboration co-written with Zoe Lister-Jones. Lola Versus premiered at New York's Tribeca Film Festival in April 2012. Distributed by Fox Searchlight Pictures, Lola Versus opened in theaters during the summer of 2012; it received negative reviews from critics, with a 35% rating on Rotten Tomatoes. It stars Greta Gerwig, Zoe Lister-Jones, Bill Pullman, Hamish Linklater, Debra Winger, Joel Kinnaman, and Ebon Moss-Bachrach.

In 2014, Wein wrote and directed the short Let's Get Digital for the SXSW Festival. Starring Zoe-Lister Jones, Ryan Hansen, Megan Ferguson, and Jon Heder, the film was an installment of AT&T's short film series "The Network Diaries," part of the Mobile Movement showcase about young Americans communicating through mobile Technology and social networking platforms.

Wein and Lister-Jones co-wrote Consumed (2015), their third feature-length collaboration directed by Wein. The political thriller, which focuses on the world of genetically modified organisms, began filming in May 2014 in Champaign-Urbana, Illinois with Shatterglass Studios and subsequently premiered at the Los Angeles Film Festival on June 15, 2015.

Wein's feature Blueprint (2017), developed with, co-written by and starring Jerod Haynes, chronicles the crisis of a young African American living in South Side of Chicago whose best friend is killed in a police shooting, and the community around him. Blueprint premiered at the Deauville Film Festival on September 6, 2017.

Wein's next feature, White Rabbit (2018), co-written with and starring Vivian Bang, is a dramatic comedy about a young Korean American performance Artist who struggles to be authentically heard and seen through her DIY performances in modern Los Angeles. White Rabbit premiered at Sundance Film Festival on January 19, 2018.