yes caulk is a glue, but if you get clear with stretch i Think is what it is, you can glue it into the wig and it's less of a mess than hot glue.
I just tried to sew my tomoyo buns into my wig and failed, but smaller additions can be sewn into a wig, just sew it into the wefts or else it'll fall down.
Also, hair combs might be a good idea. I haven't started planning that much ahead for my china costume so I haven't thought about the head piece.
*goes back to the first page*
yes hair combs will be the best. just glue (hot glue) it onto the back part so you can just push it onto the wig