I thought about this, too! But what I discovered was that modern wigs today are made with so many different kinds of materials and construction that manufacturers have made sure that they're comfortable, easy to wear, and most important of all, breathable.
I bought my wig from Keswigs that's made of Swiss lace and 100% virgin natural hair. They're so light and the net cap is breathable so they're extremely comfy. I've heard that other people find their wigs hot because they sweat a lot, and if that's the case, I suggest you wear a wig cap that would absorb your sweat first before it hits your wig.
However, in humid environments, wigs can clump up and get tangled. So if you live in a hot and humid area, I would suggest you choose a wig made of natural hair rather than synthetic fingers because these materials are made of fibers that contain traces of plastic, which do not absorb moisture. Sure, they're cheaper than human hair wigs, but if you want to be comfortable without having to worry about itchiness and all that, then you need to invest in a great quality wig that's worth the price.
One of the reasons why your wig may be uncomfortable is probably the installation method. You will have to master installing a wig on your head perfectly so they don't move around and whatever activity you do, you are confident that they stay in place. If you're finding it hard to install it properly, you can go to a salon or a professional hairstylist to install the wig for you.
