When Cole Escola is shopping for wigs, he knows exactly what he wants.

“I’m looking for something a young girl would wear on a porch,” he said, perusing the displays at Mane Beauty on Eighth Avenue in Manhattan. “But then I’m also looking for something ‘Dynasty.’”

Mr. Escola, a cabaret performer and regular on the Hulu series “Difficult People,” tried on a blond hairpiece, attentively studying the effect in a mirror as he tilted his head this way and that. “I don’t know if it’s ’80s enough,” he concluded. “Although I love the way it moves.”

He left with three wigs, which he would add to the 35-strong collection he keeps under his bed, in 7-Eleven doughnut boxes. It helps him create his comic characters and neatly encapsulates the absurdism and detailed characterization that distinguish his style.

In just under 10 years, the lithe Mr. Escola, who is 30 but looks much younger, has become a ubiquitous presence on the downtown alt-cabaret circuit, often sporting little besides briefs and a boyish smile. Shortly after co-creating the Logo series “Jeffery & Cole Casserole” in 2009, he became a regular on the music revue “Our Hit Parade.” There he joined a cohort that also included Bridget Everett and Kenny Mellman (of Kiki and Herb), and often brought unexpected insights to Taylor Swift songs. Now Joe’s Pub is hosting his sketch-comedy solo “Help! I’m Stuck,” in which he takes on about 10 personae, including an office worker who happens to be a goblin and a daffy Bernadette Peters. (The next show is Monday, July 10.)