I've never had a problem with it. Just expect your hair to stay wet almost all day, or at least while you're wearing the wig. It also may get a bit hot/steamy.. but its only something you would feel.. don't worry, you wont have steam rising from your wig.
And it depends on the thickness of your hair too I suppose, and how long it takes to dry normally. So give it a good towel dry and you should be okay for the day.
[Help] Corpse of Achilles says, "Hey, can I speak to a wiz for a moment? I think something's wrong with the combat code; I just was killed by an arrow to my /heel/?"'
[Help] Corpse of Achilles says, "Is 'heel' even a valid hitloc?""