It isn't necessary to shave ones head for a wig, but it does help it fit better. Just like in clothing you could purchase a ready-made wig or a custom one. Ready-made is a bit more iffy on fit of course, but cheaper. If someone requires a wig only part of the time and doesn't want to shave their heads to get a tighter fit, it can be the more practical option.

When it comes to custom, the head is measured in detail and a "block head" is made of wood to be exact in measure. A silk net is shaped over the head and the edges taped. The hair is woven onto strings so it ends up like a tape, these "wefts" are then stitched on back and forth along the net base. Being made snug to measure means it will stay on fairly well, hopefully not falling off.

Having a great deal of hair on your head, even your own, isn't terribly comfortable compared to having very short hair. Wigs do tend to be a little itchy and hot in comparison to natural. While wigs were in some ways fashionable and a status symbol (they could be very expensive), many chose to keep their own hair. Women especially; most mentions and imagery of women wearing wigs tend to be doing so because of hair loss due to age, pregnancy, or other health issues. Those grand hair styles we think of with Marie Antoinette are easily accomplished on a persons own hair through augmenting with cushions and hair pieces. As for keeping the wigs on during non-public moments of the day, it's up to the person. There are caps for men to wear inside, work or casual styles, if they aren't wearing a wig or want to protect their real hair from soot, sweat, etc. Women's caps work the same way, though it's difficult to hide a shaved head under one. Likely part of the reason women were less likely to go through that process than men.