I've sometimes used caulk to keep tricky pieces in place-- but you have to make sure to get the kind that dries clear! That, or hair glue. Or, if your wig is heat-resistant, you could always blast it with tons of hairspray (I'd recommend Got2B) and then the hair dryer to seal it.
Currently planning for Ikki-con '11. Will prolly only go one day.
Officer Jenny ---> 80%