I guess it depends on the style you're going for. Will the hair be long or short?
Are you wanting to achieve a specific style that will always hold the same shape? If so, I've go with BD's suggestion of white glue.
If you want the hair to remain soft and brush-able then water should do the trick. Just wet the hair down, style and let dry. If the hair is going to remain long, you can wrap it tightly around the neck to dry and it should stay flat.