Hot sticks work great. Aussie Freeze spray works too.  You can cut a wig to fit if it is too big (and add some darts in the cap to shape it).

So Ms Puppet are you saying those would work well on yarn? Kind of want to go with the yarn vs. wig for these particular puppets. Though I do occasionally use wigs.

I used to make dolls and this is what we did. - curled yarn (and raffia) with hot sticks.  You can spray the yarn with with water and then curl if you like.  You can also wet the yarn, wrap it around large knitting needles and stick it in the oven (low temp) until it is dry.    The Aussie freeze works on a lot of things, including some types of yarn (I'm sure there are many I haven't tried it on), fake furs, etc.  It is almost like lacquer once it dries, really stiff.

Another thing you can do (not necessarily for these puppets), is use round plastic canvas and a large plastic needle. Thread needle with yarn, insert in canvas. Pull through and push needle down through another "hole" in canvas. Leave about an inch (or more depending on length you want) sticking up.  Keep doing this until you have the canvas covered with yarn. You can leave the loops to make the hair look curly or cut them to make it more like short hair or even spikes.  You may want to cut the canvas into a shape before you start, or use a long narrow piece instead of round. 

I am sure this is as clear as mud.  I will try to video it the next time I do it and do a tutorial.

Awesome! Thanks for all the tips!

When you say "hot stick" do you mean curling iron like you use on your hair?  The reason I ask is because with wigs you can not use a curling iron on synthetic hair only on real hair. There is enough "plastic" in synthetic hair that it simply melts it.  BTW fake fur is the same thing as synthetic hair so don't use a curling iron on it.  I am assuming that if a yarn has to much synthetic fiber in it that it to may not react well to a curling iron.  So to curl a synthetic wig we roll in in curlers and then take a steamer to it and steam the hair set in the curls really good getting the hair saturated with steam heat. This is hot enough to shape the hair around the curlers but not melt it. Then it can be popped into the wig oven (a big box with hot air blowing into it) and dried out. Wetting ploy blend yarns and then wrapping them and putting them in an oven is much like what we are doing with the synthetic wigs.

No, not a curling iron.  Hot sticks are rubber covered rollers that go into a heating unit. You plug in the unit and the sticks (they are 4-5" long) heat.  Safe on anything I've tried them on.  They sell them at wal mart.

http://www.conair-store.com/zoom.asp?edpZ=141769

Ah ok... Yea I would imagine they would be safe for just about anything. Better for your hair too. Kind of like the hot curlers they sell.