First, make two caps, one to keep your child's hair hidden and the other for the wig. For each, turn a pair of queen-size control top panty hose inside out. Tightly double-knot a short length of yarn about 5 inches below the waist; wrap the yarn ends around and double-knot it a second time (A). Trim off the legs and turn the hose right side out. Put one cap aside.
On the other, use a marker to make a line between the seams (B). This line will become the wig's center part.
Decide how long you want the wig's hair to be, then find an object, such as a box, a baking sheet, or a tabletop with a circumference twice that of the chosen hair length. (So use a box with a circumference of 50 inches for a wig with 25-inch-long hair.) Wind bulky or curly yarn around the object 9 to 11 times; wind regular yarn 16 to 18 times. Double-knot a piece of yarn around the bundle, then cut the yarn loops at the opposite point from the tie (C). Make 12 to 14 bundles of yarn for each wig.
Thread a tapestry needle with an 18-inch length of your wig's yarn. (Our drawing uses orange yarn for contrast.) Insert the needle into the cap's center line about 1/4 inch up from the bottom edge. Bring the needle back up through the cap about 1/2 inch away, and pull half of the length of yarn through. Remove the needle. Tie the yarn ends to the cap in a double knot and let the ends blend in with the rest of the bundle. Follow this binding procedure a second time to add a bundle about 1/8 inch up from the first. Continue to add bundles along the center line, leaving about 1/4 inch between them so that the cap can stretch (D).
When all the bundles are attached to the cap, have your child try it on. Spread out the yarn to cover the cap completely. If you see any large gaps, add a thin bundle of yarn.
To wear the wig: If your child has long hair, put it into a ponytail or a flattened bun. Put on the hairless wig cap and tuck any stray hairs underneath it. Then put on the wig.