If you haven't glued anything, the swish and rinse usually works great... I am going to take the hair spray out of my Hitsugaya wig like that. If you have the money, they do sell wig shampoo, but regular human shampoo doesn't hurt, but I wouldn't use it unless just rinsing with water doesn't work.
I use baby shampoo with cool water to wash the wig I just washed that had a whole bunch of hairspray and gel in it. I let it sit for a little bit (holding onto the wig) than gently rubbed the tough spots, and rinsed in another bin with cool water. Worked pretty well, though some spots were still a bit sticky.. you could repeat Just don't be rough with the wig.
Cosplay I'm working on:
Adam Lambert's "Mad Hatter" outfit from "If I Had You" music video.
Train Heartnet from Black Cat
Recent Complete Cosplays
Ikuto Tsukiyomi - Shugo Chara! School uniform with black and white lined blazer version
Jaden Yuki - YGO GX Season 4 version
~Cosplay lists never end... I have so many in my head I fear I will forget them... I have made a journal of all the characters I wish to achieve and keep on adding.~