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.
Anime Midwest cosplay: Armin + young Armin Arlert (Attack on Titan), Madoka Kaname (Madoka Magica), Mayoi Hachikuji (Bakemonogatari)