Don't listen to people. It's not as easy as it looks.
I styled my first wig today. Hiei from Yu Yu Hakusho. I wasn't happy with the style it had and didn't want to try and color the little bits from black to white, so I bought a Hiei wig a long time ago. I figured the styling would be OK...however, it seemed more like a style Trowa Barton would wear rather than Hiei.
So I washed it. And then I started to style it myself. I used GotToBe hair spray (in addition to being super awesome at holding, it is also very sticky. Keep a bowl of water and a towel beside you if you decide to style with that). I sat outside (because I hate hair spray fumes...) and started to work.
First of all, please do your styling in a place with no leaves. There were about three or four leaves and a bunch of tree things stuck in the wig as I styled it.
All right. While the majority will do what you want, there will always be those few strands (yes, this is the same with real hair) that just will not do what you want. It's ok to not have something perfect.
Just keep spraying and styling (and keep a picture handy)! Soon enough, with enough hair spray and time, it WILL do what you want. Don't get discouraged and don't take the wig off of whatever you're styling it on too early. I made that mistake and now part of the hair leans a bit. My fault, though.

Wish me luck with my Sora wig! I'm definitely going to need it.