I carefully put my curly-haired ponies into a Ziplock, arrange the curls to my preferecne and then squish before sealing to get all the air out. I've actually used this trick with quite a few of my ponies both for shiping and my own collection. The curls stay nice and tight right through the shipping process (unless opened by customs)
I also do it to set the curls on the girls in my collection! Curl the hair to how you like it, zip it up exactly as above and then pour hot water over the mane and tail for a while. Let it cool in the bag, the take her out to display! I've used this method countless times...one pony still has curls now I haven't touched her since last March