Hairpins. Loads and loads and loads of hairpins.
Pin them around the edges of the wig and in the main body of the wig itself, through your wig net and into your hair. If the pigtails are giving trouble, stick a few pins in at the base of each pigtail (again going through the wig net and anchoring it to your hair). Also, test by shaking your head around and doing some poses, and avoid the movements/positions that make the wig come loose.
If it helps as a gauge, I used around 12 hairpins to secure a fairly light wig on my head for stage combat (initially used 4 and it flew off with all of them when I made a particularly violent movement) Two at the front, two behind, two over the ears, two behind the ears, the rest stuck randomly all over. I had to get help putting them in and taking them out.