Oh no! Unfortunately there isn't a 100% way to go about it. As you know once stuck there is no fixing it back to changing capabilities.
The colour changing is due to the properties of crystals within the plastic. The molecules in the crystals have different state properties in between the solid and liquid; at low temperatures they behave like solids and as they are heated they change to the liquid crystal state. Liquid crystals reflect light differently than solids so as the wavelength of reflected light changes, so does the colour of the toy.
Therefore what essentially happens is that the crystals in the plastic part which is no longer changing have either broken down or been "used up" if you like. You need to break this in the still changing part of the pony and you need to ensure the crystals can no longer become liquid. The only way I have heard of stopping the colour changing is to overexpose the area which still works to warm water or heat until it essentially is stuck. My only serious note on this is that if you have a piece of plastic which is already stuck in one colour, you are not guaranteed that the shade the other part of the plastic will become stuck in will be the same shade - therefore you could risk a two toned pony