Firstly I really want to thank Speckles for all her helpful advice, without which I don't think I could have done this XD
1. Okay, so to start off I sewed some inserts in the shape of Juri's pigtails and stuffed them with toy stuffing. You could also use polystyrene, but I found this so messy >.< I used a black poly cotton drill, it's probably a good idea to try and match the colour of your fabric as closely as you can with the wig, that way if there are small gaps after the covering they are less noticable.
2. I brought a wig with a clip on ponytail, this way I could style the base wig and then use the wefts from the ponytail to create the pigtails. Step 2 is basically to watch this video XD http://www.youtube.com/watch?v=4Y4FD4Pso_I Not all of it is relevent as its for a specific wig but the method for hotglueing wefts is really presented clearly. :) The second part should pop up in the recommended videos to the side.
3. I used the top method shown on the picture to the left. Bascially you just want to use the hot glueing method shown in the video and adapt it to this diagram. Both ways would work really well, its just whichever way you would prefer to do it. I choose the top method as I'm a really messy worker and just envisioned stuffing and glue everywhere! Which reminds me, put plenty on newspaper down as this can get quite messy! Also the ice water really helps at saving your fingers from getting burnt.
4. The hairspray is really helpful at keeping everything together, I used Schwarzkopf got2b glued blasting freeze spray. As well as spraying throughout, I also gave the pigtails a really good spray at the end before leaving them to dry for an hour or so.
5. If the pigtails still have fly away hairs etc just give them another good spray, and repeat until satisfied. I must of used about 3/4 of a can of hairspray on mine XD
6. Now you just need to sew them onto the base wig and your all done! :D They will probably need another spray after this since they might get a bit battered in the process.
A note about transport and storage. My wig is currently living in a big box as I don't have the space to keep it out on a wig head, this is probably how I will transport the wig too, though I imagine there will be some bubblewrap involved XD. I would say if you can keep it out on a wig head however this is the better option!
Time Taken: Approximately 3 hours per pigtail and then an hour of touch ups and assembly to the base wig.