I wore my wig out for the for time last week. It was mystical and magical in the sense I felt like a completely different person. Here's a breakdown of what you need to do to prepare for wearing a wig.
So the most important thing is finding a wig cap that fits your head and keeps in all the hair tightly. I got a closed cap (http://tinyurl.com/q3reu58) but other people I've looked into have used the open mesh caps (http://tinyurl.com/ngf6b55). I must be uber sensitive to anything that's on my head cause I tend to get headaches from putting my hair in a bun or pony tail for too long, so wearing the wig cap for 8+ hours lead to a definite migraine. I didn't have a plan B for taking off my wig so I stuck through it. It literally felt as if someone was sucking my brains out. Long story short, find a wig cap that fits comfortably.
Secondly, depending on the type of wig, you have to make it look natural. I have a lace front wig that doesn't part, so I was trying to do everything I could without cutting off too much lace and hiding whatever lace was left. I tried creating fake bangs with the hairs to give myself a part and hide the lace and that worked (mostly). Downside, I had to constantly adjust the hair because it was so long. I read later that you can take a blow dryer to heat the hair to the part you like and pull the hairs out to create a part. I'm too scared to do that so I guess I'll stick with my current methods, but I'll definitely have to pull some hairs out for my pink wig since the hair line doesn't match my hair at all.
This has been my experience so far and I will update you as I get more practice. Please feel free to give advice and tips!