Go to the Resolution Centre at the bottom of this page.
Open an Item Not Received Dispute and escalate to a claim.
Letting the seller know you are doing this would be polite, but don't get bogged down. Do NOT accept an offer of a replacement. It won't arrive either.
If the seller cannot prove Delivery, he will be told to refund you in full. If he does not, Paypal will and go after him for their money.
Shipping from Asia is often cheap (or"free") becasue sellers use the very very slow Surface shipping rather than Air Mail.
Use the money to buy locally.
Neither you nor the seller will be able to leave feedback.
If the wig ever arrives, you can refund the refund using Paypal's Send Money service.
In future, don't order from overseas if you have a deadline.
Read the seller's feedback. While 99% positive sounds good, also read the negative and neutral comments. Did this seller have a lot of complaints about slow shipping? One bad feedback out of 20 is terrible, but 100 out of 10,000 is more than acceptable.