I used warmish water while styling and then once everything was secure exactly where I wanted it (I used several bobby pins, thread, a chopstick, and small elastics, no straws) I blow-dried her on low. It has held up quite well for a pony that's been dropped on the floor several times.
I did trim her hair to a good length for the style beforehand as well, but I don't recommend this unless you are confident in your ability to cut hair well and/or hide your mistakes.