My first attempt failed, as I only used hair spray. In my despair I sent a PM to Nebulauben and Eirikku-kun who had made an awesome Lilith. And they were really awesome and answered within the hour (creds).
Below you can see her (Nebulauben) wig.
Photo by: Nebulauben and Eirikku-kun
What I did wrong was not using a hair dryer. Seems so simple now that I know it.
Here is a youtube video illustrating the process, (from ca 2min in)
What you do is section the hair into one and one spike, then spray it and immediately use the cold fan from the hair dryer.
That's it actually. Then you have to cut it, to the different spikes get the correct lenght.
And last I spray painted the tips white.
Startup wig from ebay. This one was not really red enough, but it worked fine for my first attempt.
NB: This photo is edited in Photoshop, as you might see on the white tips of the wig. I used white spray paint to color it, but the effects was a little pale after several hours use outside.