I cheated and googled it as I know nothing about wigs. I do know they sell non-heat rollers at walmart for just a few dollars. What is your costume?

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You can wash it. Use a little shampoo and warm water. Even cheap wigs will hold some shape. Shake it out well when done and let dry overnight. You can even set it with rollers to give it more volume, but don't use heat! Curling irons or blowdryers will melt it!
Then style it when its on, try to secure with a few bobby pins. Cheap aerosol hairspray works the best, gel or pomade will get cloudy and make a mess.