I don't want to mess with it again, because it really did turn out perfect!
But my method was pretty simple:
1) Taking the mane into four different sections, two to go in front of the crown past each side of the horn and two to go behind the crown, over the shoulders. Put the crown on.
2) Pull the two sections on Luna's head and the other "shoulder" section on the left hand side together into one big section, covering the left side of her face. Then wrap the new big section around one of her legs.
3) Wrap the last "shoulder" section on her right side around one of her legs.
4) Rubber band the hair in place around the bottom of the legs, making sure the hair is pulled pretty taut.
5) Fold up the tail into a loop and secure it with a bobby pin (just to give it that little curl).
6) Soak the hair under hot water in the sink and stick it under a desk lamp to bake for a couple of hours.
7) Unband it, and if it's to your liking, trim the mane and tail to about show length.
Don't be afraid to start over, and shampoo and condition before you start!