This is for cinnamon style buns, not the more "traditional' round odagos normally seen in cosplay.
Here is how I made my buns for my Primera wig. I didn't think to start taking pictures at first, so I'm missing pictures of the very first steps. But I have the pictures numbered in the order I took them.
Materials needed: wig hair, fleece, matching thread, rubber bands, clear thread, curved needle, clear caulk, pomade, hairspray, scissors, blowdryer.
-Make a "reverse stub" for lack of a better word. Tie off your hair fibers with a cut rubber band, cut the ends, and apply clear caulk. Don't be afraid to mush it into the fibers. Wet caulk will also wash off your fingers pretty easily. Walk away and let the caulk dry.
-Roll up a tube of fleece in a similar color to your wig in a length that will roll up into the size of bun you want. Stitch the tube together with matching thread.
-Insert the caulked end of the hair into the fleece tube covering the rubber band. Stitch into place by running your threaded needle through the end of the tube with the hair in it. The curved needle should be strong enough that you can run it through the caulk inside as well. Now you have something that kind of resembles a tube worm.
-Start wrapping hair around the tube in a manner similar to stripes around a candy cane. I had to loop some thread around the end too to get it to stay in place as I started this. Hold tube down and stitch hair into place. You may find it helpful to find something to hold your hair down in place while you get your needle and thread ready.
-Continue wrapping and stitching. Try and stitch in an overlapping fashion in a straight line. If you can manage a straight line it will help hid the stitching later.
-After you've wrapped the whole tube snip off extra hair and smear caulk all over the end and across where you snipped the hair off. Do some minimal stitching on the bottom of the beginning of the tube so that you can removed the looped thread if you did that. If after removing the looped thread there is some exposed fleece you can hide that when you hairspray down the bun. Dab some caulk onto the bottom of the beginning of the tube too. Walk away and let the caulk dry.
-Roll up your tube into the bun and stitch it into place from the bottom of the bun. Try and have all your stitching on the bottom so it won't show even though it was done with clear thread.
-Attack with pomade, hairspray, and a blowdryer to get a smoother styled look.
For more information on this whole costume check out my gallery for it on cosplay.com: [link]