Do you want to make a yarn wig? Making wigs with real (Or real looking hair) is difficult. But.. Here's a video on that too
It'd be cheaper just to buy it.
Walmart and Target donate their stuff to Goodwill when it's considered "out of season" or if it's not selling quick enough so sometimes you can find some new stuff(still in it's original package) for pretty cheap but unless the wig is made of real hair I don't think you're going to have much luck with dying it.
Don't attempt to dye a synthetic wig with regular hair dye! (it is possible with other methods though)
In all honesty though you are probably better off buying a blue wig to begin with, unless you want a really specific colour blue ( you can then create this by using a sharpie dye tutorial and a light coloured wig.)
Here is a link to a 'sharpie dye' tutorial that a lot of cosplayers use. It can be a messy method but can help you achieve the perfect blue you are after.
Wigs are easily and cheaply available from ebay. Quality can be a little hit and miss though. Here are some ebay stores that cosplayers from /cgl use and approve off.
>Ebay wig stores:
> Cosplay Wig Glamor
>Cosplay Wig Fever
>Go to the shop
> gorgeous tea 5
> Cosplay Wig
> Cog Marc
When looking for a wig keep an eye out and make sure that it isn't too shiny!
When cutting your wig here are a few guides:
It would probably be best if you have a fair few reference images of the character from different angles. Or if you are lucky you might be able to find a how-to-guide on cutting and styling a wig for the character you have chosen on the internet!
Most cheap wigs you buy at the halloween store are in bad shape when you take them out of their packaging. Mainly because of the way they are packaged. However it is possible to reshape and manipulate them. I have an old friend from high school who does this with wigs for cosplay. I'll even link his DA page below. I've also done some slight adjustments to wigs I've purchased at the store. It's not too difficult to work the shape out.
I'd just buy one - here there are tonnes of cheap stores which generally have prices between like $1-$10, and they always have like 8 different colours, and the wigs are never more than $8 each, and thats for a long one - I got a short bright blue bob wig from them for $4.50, and after taking it out of the pack, and a little hairspray and time, I managed to make it pretty presentable!
As for making a wig, I can only think of making a yarn wig at home. You can crochet/knit a beanie or buy a blue beanie that is crocheted/knit and then knot collections of yarn through the holes in the beanie. You could search for a tutorial on making hair on an amigurumi.
If you're looking to purchase a wig, definitely do not buy a cheap wig from a Halloween/party store. I worked at Party City for far too long, and I know that every single one of those wigs is a piece of crap not worth your money. And you look like a fool wearing them.
I 100% recommend http://www.cosplayanimewigs.com/ from personal experience with them. It did take almost a month for my wig to arrive but it is so soft and just pretty. I was definitely surprised that what I got was so nice for how affordable they are. I've also recommended this site to a few other people as well and everyone of them has said that the wig exceeded their expectations.
You can also find a ton of great wigs on eBay. Just shop around. In the least, buy a wig that has lace insets, has adjustable straps if possible, and is made of kanekalon. I never buy a wig that simply says "synthetic". I just assume it's a shitty as a Party City wig.
And if it's too shiny, you can use a little bit of baby powder on it to unshine it. But don't smother it or it will look dusty and clumpy, unless you're going that route.
Best of luck.