I wear this and it's really heavy:
This is what I do ( I used to have this as a journal entry....)
I spray my own hair with a LOT of hairspray - got2be or whatever. I scrunch it up then stuff it under a wig cap. Clean hair is slippery hair. With the hairspray on it - it has some texture for the pins to grab into.
I have a comb in the front of the wig (toupee clip) that really helps. After pinning on the wig cap - I pin the wig on with the larger sized hair pins - they are U shaped and longer and thicker than standard ones. You can find these at Sally Beauty Supply.
I pull the wig forward slightly while I put the pins in so gravity helps dig the pins in farther. I put 3 under the ponytail vertically - with the ponytail lifted slightly forward with one hand, put the ends of the pin facing up and slide it in about 1/2 an inch. Turn the pin down - grab all your own hair underneath and slide it all the way down along your scalp.
The hairspray on my own hair and the bigger hairpins really make a difference. I've tried without and the wig slides off. It's still not a very comfortable wig -I can wear it for about 3 hours. It looks great though.