Have not made woolen wig but have made curly ribbons by winding around dowel sticks and securing with wooden spring clothes pins on the ends.  Then placed in 200 degree oven on cookie sheet for maybe 30 minutes.  Did not get them wet, just dry.  They hold their shape great until they get wet. I have not been able to find puppet scale rollers, but the dowels worked. Ringlet style curls. Oh and the key to heat setting is to let it cool before you remove from the roller or dowel.

that's inspired, well done! And I second mkshatto's comments-  would love to see some clips!

The second I saw the puppet, I knew what it was for.

That's success in my book, nice job!

Judges' wigs look like they have been 'glued' in rolls. I am wefting some wig material with synthetic wool at the moment. I could give it a quick test with the Elmers glue if you like. I also figured out how to do a 'part', or how to fill that last little gap when making Bullion Fringe by doing a double sided fringe for the length of the part.... maybe a tutorial might show it better.

Pagestep07 : having seen may of your tutorials on-line I would love to see one on your hair making methods

Anton's Angels...Sorry for the delay in replying...I just did the following tutorial using a Bullion fringe loom. There is a link in the video to a tutorial on how to make the loom, and the second vid is one way of using bullion fringing (curtain tasseling). I also have a tutorial on a 3 thread real hair wefting loom, which is the third vid below. A quick and rough method is to use the sewing machine to sew wool, I have a method that seems to be working, but I have not done a vid on it( but I think there is a short reference to it in the Tasseling  vid below), but at the moment I am doing more bullion fringe type wigs. I avoid using glue, particularly for wigs, as glue does not last very well in TV production where the puppets must take a lot of  punishment and extended use, and must be repeatable so they can be replaced occasionally.