Another option is to sculpt 'hair' directly onto a bare head. Paint some liquid glue onto the head and using a needle or a pin in a pin vice, you can sculpt hair as the plastic on the head disolves with the action of the glue. Repeat a few times, as the liquid glue will evaporate quite quickly. You can create quite long hair if you need to as the plastic starts to 'string'. If you are careful, you can also use this technique to sculpt beards and moustaches. Honest! Try out on a spare figure first, of course.
Hope this helps.