There are 3 things that give a wig away. Lace, lumps and shine. The key to making a wig look natural is to minimize all 3 of them.

Lace：

People's eyes go straight for the part on your wig so you want to make sure 1. It matches your skin tone and 2. It's not lifting. These are 2 dead give aways that you're wearing a wig. Get a pressed powder or foundation (even an eyeshadow) that's as close to your natural scalp as possible and press it on the part (or any exposed lace) to add to the illusion of your scalp. Soft lace tends to lift and roll more than hard lace which lays flatter because of the stiffer material. If you don't have sensitive skin (and don't care about your edges) go for a hard lace wig. For soft lace you could glue it down or Bobby pin the sides of your wig down. My favorite cheat is throwing a headband over the lace to conceal it completely.

Lumps：

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