Create the particle strands and apply all the modifications required.

Press F9 to enter editing

Under the modifier tab click Convert

Press TAB>A to select all the vertices

Press E>ONLY EDGES>X>.001 to extrude a minute amount along the X-Axis. You can of course do this according to whichever axis is most suitable for your situation.

This creates simple strips of faces that are renderable in outside programs after exporting the hair mesh.

Of further note, you can extrude the faces created  by the same amount along the perpendicular planar axis to create square strands then apply the subsurf modifier to round and taper the strands.

This creates much more realistic hair but is only effective for sparse hair such as eyelashes, eyebrows and random body hairs because of the huge increase in poly count.

Example: 1000 particle strands of 5 vertices each after extrusion equals 10,000 vertices. Extruding again raises the count to 20,000 vertices. Applying the subsurf modifier at the default setting will then generate approximately 80,000 vertices.

A good compromise is to create the bulk of the hair using traditional methods and generate a few strands of particle generated mesh strands for realism using the double extrusion outlined above.