In order to make a bald cap blend in and look natural, you'll probably need to do some serious f/x makeup work to cover up the seam and make the color/texture blend in.. that's serious stage makeup.
You won't just be able to slap a bald cap on your head and expect it to look natural. Mehron, one of the big theatrical makeup companies, sells a kit including spirit gum and remover, liquid latex and remover, theatrical makeup and instructions, which is probably the best deal for amateurs. You can get it from them directly at http://www.mehron.com/retail/category.cfm?Category=63
or probably through your favorite stage makeup supplier.