I know you're wanting an answer, but I've been wondering this same thing.
I have some guesses, but as I have yet to make a cosplay, they're only guesses:
The problem would probably lie in trying to keep the pigtails from flopping over. If this is the case, whatever form the hairs are attached to would have to have extensions at the base to support the weight of it all. My guess is a foam base, since it's sturdy and lightweight. If it's extended past the bottom, perhaps it could be attached underneath the hair of the wig. (sewing? gluing? using a headband underneath? Not sure which is the best here)
If the form itself is 3-dimensional, representing conical spikes rather than a flat piece, the base would already have more stability.
Or maybe pieces of the wig could be pulled up and kept in place with hair cement (a friend said it's possible with real hair; I only have read a little about working with wigs, so I don't know if it works on a wig).
Originally I thought of using my own hair, and somehow adding wefts for the pigtails, but it might not work.
Last edited by water sprite : 11-01-2011 at 04:06 PM.