Very cute doll - and yes - I'd add hair! I remember when I was little I had a tiny doll with a glued on hat. I eventually pried it off and was very disappointed to find out the poor little thing was bald.
Now as far as the "how-to" I guess that would depend on the look and the material. If it's for a little girl though, I'd choose something sturdy - like yarn (I hate that shiny store-bought hair!) You can take some long strands, tie them in the middle and stitch it to her head. Then cut it, braid it, whatever floats your boat.
Great job on the clothes too!