This post could just add fuel to the fire but it's only my opinion and if you don't agree with it, that's fine. I saw a post on a Lolita confession board a few weeks ago that basically said crazy colored wigs suck and they made the fashion look like more of a costume. I disagree with this.
If you think it's really just a color thing because the colors pink, blue, green, etc are more costumey, think of all the people who don't wear Lolita who have colored hair that are of the vibrant variety. No one looks on them like they are wearing a costume, because they aren't, it's just their hair.
Sure, a wig can be costumish in general, but I think that's really depending on the quality of the wig. I have seen pretty horrendous wigs being used for Loli and it has made me cringe at the sight of a wig of any color that looks like someone bought it from a Halloween store. However, in spite of these missteps, I have seen some fabulous coords with gorgeous multicolored hair that suit the person and coord just fine.
Just be mindful of your coordinate and use your discretion on how it fits your head and if it suits your outfit, don't do it just because you think that's the only way you are a Lolita. From what I've observed within the Lolita community some girls and guys think that wigs are now a must to be a Lolita, particularly newer Lolita. I am a wig person, I don't wear them with all of my Lolita coords but I don't think it is a must, it's just helpful with my difficult hair.
I find it favorable if you have very little hair to work with or you don't want to dye your hair a "normal" color to match your Classic Lolita that you only wear when you are out for a meet~up.
It can be in the reverse too, with a two color split and clip on pig~tails in neon pink and blue, or if you wear a pretty chocolate brown bob, it's your head wear what you want.
Whatever you need to do to make things work for you, you shouldn't be afraid of doing so. Who cares if it's a wig, big deal, just make certain it's a nice wig.