I exercise while wearing a wig. Only the exercises in which I have to lie down pose a challenge to me since there is a chance of wig coming out as I dont put it very tight on my head. Hence, putting a tape on the front of the wig helps. Its a two sided transparent tape and got it from the same shop from where I purchased my wig.
I have found Hair Direct sells tape at pricing less then the salons. We use SUPER TAPE. It comes in different lengths and sizes. This company has been around forever and I have used them forever. Also if you are looking for lashes Madam Madeline is amazing. I buy lashes in bulk and if you mention you have alopecia they will give you an additional 20% off. I am also trying out their tattoo brows called my brow. I am into my 3rd day and they are still looking good.
Get a wig with straps so you can tighten it up when exercising. I go bald and sometimes I wear a wig. I just tighten it up. I don’t wear headbands because it will pull my wig up lol
I'd say wear shortest possible wig / less hair to worry about. Also I used headbands, have used tape and one time with sweat came off and my friend just look at me with his mouth open. :/ but I just tried to laugh it off. Now I often wear bandana, helps with sweat. As without eyebrows, can get in my eyes.
I used to have my wigs sewn on before I shaved my head so staying in place wasn't a problem. A couple of times I used wig grip bands after I shaved my head. It worked okay, but now it's much easier to work out without the wig. Glue never worked well for me and I never tried tape. Sometimes I put on a bandana or scull cap.