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.
Momocon + A-Kon + Sac Anime 2015 cosplay: Nona - Death Parade; Mayoi Hachikuji - Bakemonogatari; Nagisa Momoe - Madoka Magica