My hair is shoulder length, thick, layered, wavy, unruly...hats, hats, hats. I put my hair in a low pony, or low looped pony (I can't really say bun), slap on a hat (usually the Skida Nordic hat which is unlined), and put my helmet on over that. The pony is either in or outside of my shell jacket...where it goes, nobody knows.
When I come in at lunch, I take that hat off for a second, shake the hair out of the pony, and put the hat right back on. It is thin, so I never feel like I need to take it off in the lodge due to overheating. Apres ski, I take off my ski pants, put on my quilted skirt over my leggings, and the hat stays on. I sometimes switch to a brimmed hat of sorts, but with my hair, there is just no going without.