I recently added "needle felting" the doll's hair as an option in a couple of our new doll patterns. Seems like most gals know the process of needle felting doll hair, but I've found out that there's still a few who have never done it before. It does require a felting needle...they usually come in a multiple pack, but you only use a single one for felting doll hair. My local craft store carries felting needles, but if yours doesn't, they are readily available online.
Here's a great Crafty Avenue tutorial by "Thru The Attic Door"