There is a tutorial on YouTube on how to make them, but I'm not sure how well this idea actually works (I've never actually tried it myself, yet ^^;
Here's the link to a home made wig head tutorial:
If your wig is longer, or heavier, I don't think this tutorial would work, though, as I don't think a wig head made this way would provide enough support. It seems to be a good idea for shorter wigs, though.
If you'd rather purchase one, Sally's Beauty supply sells them(well.. the heads, anyway) for $3.99, which is the cheapest price I know of, except for maybe Ebay. If there isn't a Sally's near you, you can buy one online for what it costs in the store. They're also sold on Amazon, but they cost a few dollars more there.