Mine are stored in the netting and plastic bags they come in. The nets keep them pretty tidy. If I were to store them on a wig head for an extended period of time, dust would collect as well. So yeah, just use the bag it comes in.
ACen 2014 cosplay: Lara Croft, Erio Touwa, Shirahoshi Hime
ALA 2015 cosplay: Shirahoshi Hime, Akemi Homura [Haregi ver.], Makise Kurisu