If you don't have access to wefting thread, can't order it online, don't need a whole big spool of it, or need colors beyond natural ones, upholstery thread and other heavy weight threads, my old stand buy, is a good place to turn to as an alternative. Considering it comes in a sea of colors beyond what is seen with the standard wefting threads (I've only ever seen wefting it in 4 colors, all of which are natural ones, and it's often far more than I need at any given time). Thus, for small projects or if my budget won't allow buying a big spool of wefting thread, I'll often pick up a few extra spools of either upholstery or heavy duty thread while I'm out fabric shopping. I stay away from 100% cotton and other natural threads, as the dirt and oils from your hair can build up and cause the fibers to break down, rot, or decay. Plus, while this is personal preference, I feel they're far stronger than any of the natural fibers threads. With this and a hooked needle, you should be able to make fairly quick work of any wefting you're adding to either a hair piece or wig. Plus, I know sewing wefts into a wig can be a bit daunting for the beginning cosplayer or for someone that's styling one of their first wigs. Making a smaller investment initially is a great way to practice and sort of dip one's toes into the pool and test things out.
Now, if only the job wasn't so time intensive and tedious, that'll be wonderful.