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.
Matsuricon/Glass City Con/Youmacon Cosplay: Armin Arlert/young Armin (Attack on Titan); Ultimate Madoka (Puella Magi Madoka Magica); Fem!Masky (Marble Hornets)