To keep a wig on during the most energetic dance, the light round is quite a skill, but there are certain methods I believe will keep a wig on with any length/thickness of hair. The most important step in putting a wig on, is the hair preparation, if your own hair isn't secure there is no way that the wig will be! I prepare the wig hair by firstly splitting the hair up, leaving enough for a quiff (if you have one), most of the hair for the doughnut bun and the remainder for the plaits at the back.
I always do the quiff last because it will prevent it being flattened by the comb at the front of the wig.


