I found this fantastic tutorial today and was mesmerized watching her. I'm sharing part 2 which is about placing the hair on the wig, I think making the cap is probably fairly simple and I'll leave it to you to go to her site and watch that one. I really just wanted you all to see that it isn't as hard as you might think to make your own.
Of course, I probably never will as I'd prefer to pay someone else to do it, lol...BUT if I got crafty (though my crafting skills are really limited) I actually think I could pull this off. So who knows, maybe I'll get industrious one day and give it a shot ;)
Give this a watch and check out Unniedolls website for more. She does some fantastic mods and repaints.