Yep, go to wig store, it's the only way to make the right choice, with hundreds of styles, dozens of colors, it can be confusing as to which is right for you.
I purchased my first off ebay, a brown Beverly Johnson long full wig, Looked great on the model. I recieved it and well, it looked pretty poor on me.
But this is the wig I've been wearing for the last 9 months or so, until this past weekend that is, my wife (sick and tired of hearing bitch and moan about my hair) literally grabbed my hand and dragged me to a wig shop (If you are in St. Louis, check out
Suns Wigs, the owner was so nice and understanding, if only everyone could be this way

, she treated me like a woman not just a guy in drag and spent well over 2 hours with me trying different colors and styles)
I finally chose a Red/Brown Revlon Synthetic which she also cut to suit me even better ($140, and worth every penny), the one I'm wearing in my new avitar.
We got home and proceded to take many many pics. Even after the wife left for work, I grabbed the remote and continued to take pics, redoing my lipstick twice and my eyes once and my clothes quite a few times. Until now I'd only taken a few pics of myself but always hated the way I looked in them, hair MAKES the difference.
If you are scared of going out en femme, do your foundation, powder, eyes and wear sunglasses, take blush, lipstick, etc... with you and finish up in the car once you get there, trust me going to a store makes all the difference in the world.
As for slipping, get some 'It Stays' Works good with wigs. My new wig came with some special tape.
Kelly