I've had the same problem with some conforming items (particularly thansmapped, morphable hair), and I've found that my problem is somehow tied-in with the "Conform" command in the Figure menu. I can only get the hair to stay put if I "un-conform" (Figure>Conform to>none) the hair, and then position and parent it to the head manually. I noticed the same problem in P5, also, but in both versions, I only experience the problem with some models (e.g., Koz's Kyoko Hair MK 3).