If you need to make a cheap wig that is A) too shiny and B) too rough feeling a bit better, there's a solution!
1) Fill a sink with water. Add 2 cap fulls of fabric softener. Use hot water if you're getting rid of curls on a heat resistant wig, lukewarm water if you want to loosen the style a bit, and cold water if you want to preserve the style of the wig.
2) Put the wig in. Let soak for 45 minutes (or longer, if you really want to dull the shine or its really tangled).
3) Lay it flat on a towel to dry overnight.
4) Now, dry it! This depends on exactly what you're going for. If the wig is very tangled, straight, or you’re trying to release some of the curl, go ahead and gently brush the wig while it’s wet. If it’s a very curly wig and you are trying to preserve some of the curl, just gently finger comb it until it’s mostly dry. Or, you can get out the blowdryer and restyle the wig at this point.