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.
Conventions for 2015 (so far...): Momocon, A-Kon, Otakuthon, Sac Anime
Cosplay line-up: Mayoi Hachikuji (Bakemonogatari), Nona (Death Parade), Nagisa Momoe (Madoka Magica), Menma (AnoHana), Tsukihi Araragi (Bakemonogatari)