You'll probably need to go one step further, 
though. . . Get the wig, put it in ponytails, but 
when you do, run a piece of metal through it. You 
want to get a piece of flat metal that is light 
and springy, but which will still hold a bend. 
Something the thickness of a hacksaw blade might 
be the way to go - but maybe a little wider than 
your average hacksaw blade. (Things like this can 
be found on rolls at warehouse-style handyman 
stores like Home Depot.) Position the metal so 
that it cradles the top of the child's head (like 
one of those headbands some costumes use to hold 
things such as kitty ears) and leave a long piece 
on either side to run down the center of each 
ponytail. (I advise to run the metal at least 
halfway down each ponytail.) You'll need to hold 
the hair together around the metal so it doesn't 
show and you should be able to do this with 
something such as hair gel, or rubber cement. 
(Stay away from things that will dry shiny as 
they'll make the hair look fake - also stay away 
from things that dry to a brittle state as the 
hair might break instead of bend.)

Note!! Don't bend the metal down into Sasami's 
characteristic arched ponytails at first - only 
bend it enough to make the headband part, and 
then test how far the hair itself weighs down the 
metal on it's own. You can always bend the metal 
further if the hair doesn't weigh it down enough, 
but it's not as easy to bend it back up.

Also, a lot of costume wigs are thin cheap 
things. If the wig is too thin to hide the metal, 
get a second or third wig of the same type and 
cut off the hair from it. You can then tie that 
extra matching hair up into the ponytail holders 
for thicker ponytails. Because the hair by the 
head doesn't need to move as much, you can hide 
messy ends by gluing them down with a stronger 
(less flexible, if you need) glue.

Many Sharp Smiles,
--Drac