Personally, I use wigs made of Kanekalon fiber. It's heat resistant up to 120°C which makes it super-easy to curl too
The material is super-soft and has wonderful colors. With the more natural shades, some people have actually asked me if that was my real hair (I usually have wigs that have some fake scalp in it which makes it look even more natural).
As for wig caps, there's those which look like Nylon tights- they do a great job at covering, but might be more likely to slip off- though personally, I never had problems with that because bobby pins work wonders for both wigs and wig caps. There's also net wig caps. Those are easier to pin and put on with long hair, but they are a bit tighter and thus less comfy.
In cases of wigs that are generally heavy on one side and more likely to come of, there's also the possibility to use plaster tapes (Leukosilk) or wig glue- but the latter is really expensive.
My go-to store is mycostumes. The wigs are a bit pricy, but have wonderful quality. Sadly, shipping costs are insane if you're outside of Europe.
Another option is heat resistant fiber. Arda wigs has some really beautiful wigs made from that fiber and they are not as expensive as the Kanekalon wigs on mycostumes. Also, that shop is in the US.
As for the sweaty part: You'll get used to that. Once you're busy, you won't notice how sweaty your head is. After taking the wig off in the evening, I usually head straight to the bathroom to get a shower because normally, not just your hair will be sweaty. You can also wash most wigs after you wear them, there's special shampoo. However, do that after the Con weekend because they will need to air-dry.
As for the itchy part... it's pretty much the same as the above. You won't notice at some point. As said before, it does depend on your wig and wig cap, but it isn't that bad and will also go away once you took a shower