I usually get from Ladies Market. An alternative option is taobao.com
Finally, there are two places to get wigs (I'm in Toronto now so I don't know whether they still exist but they were there the last time I checked in July)...
Mong Kok: Ginza Plaza (beside Broadway and across from Milan Station) - go up the escalators to the 2nd floor and there is a wigshop there (if you go down the escalators there are other cosplay stores which sell wigs as well).
Jordan: Walking north from Jordan Road on Temple Street, stick to the right side (east side) of the sidewalk. There should be a wig shop (it's kind of expensive) almost a full block northward).