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.
Finished: Armin Arlert, Mayoi Hachikuji, Tomoko Kuroki, Ultimate Madoka, fem!Masky
In progress: Kougyoku Ren, Lightning Farron
Upcoming cons: Sabakon, Youmacon, Con+Alt+Delete