My puppet has hair now! Here is a photo of her on set.

The puppet on set. She still needs her cape. If you click on the photo it will open in a new screen. Click it again to magnify it and you can see her individual strands of hair.
For her hair, I started with a wig cap made of leather.
I used Gutermann Black Quilting Cotton thread for the hair, because it has a nice sheen, and stitched each strand into the leather cap.