I like to pick a wig with a pre-plucked hairline and baby hairs, so I don't have to leave any of my natural hair out.  I've found this makes my wigs look much more natural since I don't have to try to blend my hair texture with the wig's.
Also I use a little bit of Got2b Ultra Glued to secure the wig's hairline on my forehead (I just like to take a headband and have it hold the wig's edges while the Got2b Ultra Glued dries).