It's not something I have ever heard - I guess it's an example of generational jargon. Urban dictionary is usually good for this sort of thing - http://www.urbandictionary.com/define.php?term=Wig%20Snatching BUT - always check the ratings, which give you an idea if the entry is serious or not.

I have never seen "snatch your wig." But "wig" by itself -- or "wig out" -- can mean to get really angry about something or to act a little crazy about something. Example: "My mom totally wigged out when I told her that I don't want to go to college." "Don't wig out. Everything will be okay." This is related to a somewhat old-fashioned expression -- "flip your wig" -- which has the same meaning of get really angry or crazy about something.