For our unicorn faun outfits, Ciara and I wore wigs. Her's was black with blue hair I wefted into it to match the blue NFT fur on her legs and tail, and mine was a blonde that Ciara tied ribbons into to match the blue on my legs. Both wigs were very pretty and gave the fauns a whole new look to them.
Ears were modeled after horses' ears, and attached right to the wigs so there was no need for headbands or hair clips. They stayed on perfectly the entire day, and we got lots of compliments. Horns were also attached to the wig, and we had no problems with the wigs sliding forward or anything; they stayed perfectly in position through the insane wind we got towards the end.
NOTE: The ears are NOT crooked when the wigs are being worn, they're just sitting like that on the wig head.
ANOTHER NOTE: I do take commissions for ears and horns and such like these; note me for details.