Wig problem

My hair started coming out in clumps two weeks after my first chemo session. I bought a lovely wig, and had my hair cut very short. I thought I'd only shave it when it became more patchy. I Wore it for a couple of hours yesterday, and took it off in evening as don't want to ruin it just lounging around in it. My head had already been itchy before wearing it, as I think it's due to my hair falling out. Now, my head is still itchy but also really sore. It's the same pain as when you've had a ponytail too tight and roots are tender after you take it out. I'm thinking I paid quite a lot of money for this wig, I hope I can wear it. Maybe I need to completely shave my hair off, as the wig might be causing my hair to be pulled tight under it. Anyone had experiences with wigs?