When we see a bald character in a film, one of three things has happened:
1) The actor shaved their head
2) The actor is wearing a bald cap
3) The actor is not wearing the toupee/wig that they sometimes wear
Wearing a bald cap requires that the actor spend a significant amount of extra time in the makeup chair and wearing something that is tight and uncomfortable and hot for many hours. So the actor has to weigh the costs/benefits of choosing to shave or choosing to wear the bald cap. Shaving their head could prevent them from getting other work. A big factor is probably how much time they will need to be filming scenes as the bald character. Michael Rosenbaum played Lex Luthor on Smallville. For about seven years he shaved his head to play the character. Then he left the show for three seasons and returned for the final episode. He wasn't going to shave his head again for just a few days work, so in the final episode he wore a bald cap.
Actresses probably have less choice in the matter. There was no way Karen Gillan was going to be able to fit her long red lustrous locks under a bald cap, so she had to shave her head for the upcoming Marvel film Guardians of the Galaxy.
And then there are cases like this.
Twenty years from now, it might all be done digitally.