I don't think he wears a wig because his hair looks so incredibly bad. If you're going to wear a wig, at least get a good one.
Furthermore, if you saw the episode where he has plastic surgery, the guy hid nothing. He looked like someone took a bat to his face over the course of those episodes. He was so swollen, he looked like a corpse. And through it all, his hair was greasy, and hanging in ropes.
He does look allot better bald though.