Another slightly off the wall idea which might work for you would be to have a very short ponytail at the nape. I'm sure you have seen the kind of thing I mean- just an inch-and-a-half of hair caught up in an elastic band. I was standing behind someone in a queue wearing this style this morning. All his thick hair (in your case it would be your wig hair) was caught up in the ponytail. Below it he had just a few wispy hairs on his neck, and it looked good.

This is not the best example, but it gives you the general idea:

http://militaryindependent.wordpress.com...nytails-2/