Wet the hair and coil it around a straw or something vaguely cylindrical then let dry as is for minimum 24h or overnight and gently remove the support.
You can also coil the hair around your pony's leg, I usually do that for the tail.
To hold everything in place, I envelop the coiled hair in a piece of tissue/toilet paper (with no printing or inks on it) and use a rubber band.
You can always wait longer in the hopes the hair will hold better.
Hope that helps.