I use the same kind of wig caps Mehdia is mentioning, the fisnet ones with an open top. Some of the packages of these say they are "weave caps" which I believe are sold at beauty stores. I like the fishnet style more than nylon because it allows more airflow, so it is not as hot to wear the wig. The open top is nice because you pull the cap completely over your head so it sits around your neck, then you pull the cap upward into place. In this process, the wig cap catches all the "baby hairs" or short, pesky hairs that normally stick out if you just pull a wig cap over your head.
If your wig fits your head, it really should not go shooting off into space. The wig cap is there mostly as a formality to contain your hair and make the wig less irritating to wear as well as to finally add something that you can pin the wig to. But honestly, I rarely have to bobby pin my wig to my wig caps, even for heavy, high-volume wigs. If you want something else to keep the wig cap in place and prevent it from sliding back under the wig, I use those elastic headbands like in this pic. Just put the headband along the edge of the wig cap for some extra stability.