I think I thought of an solution for the hair of the pegasus somewhere during the night (yes, I have all my best ideas when I'm supposed to be sleeping...). I couldn't get up at that moment to do it, since my bedmate would not really appreciate that, so I had to wait a bit to test it, but I think I quite like the result.
What I did? I took a piece of ribbon and the pieces of yarn that I cut for the hair (about 10 cm) and used the sewing machine to stitch them together. No reason to be very tidy about this as it's inside the head anyway. And you probably want to cut the hair when it's finished anyway, so I didn't pay any attention to the ends either.
That seemed pretty pull-proof, however, as I said I want to make double sure, so I've put some glue on it anyway. Now I just need to wait till it's dry and then I can try and put it in the head.
I'll leave the rest of the ribbon in there, since I need to fill the head up anyway and I can be sure the ribbon doesn't start to fray where the yarn is stitched on it. I will however first pull through the hairs before I'll fill the rest of the head up, so I'll have a bit more space to see it comes out just the way I like it!