I've learnt a new word today: do-rag!
I have the same problem though - my hair is shoulder length, incredibly thick and wavy. Add sweat and a helmet and you get something that looks a bit like felt. It's not long enough to sit nicely in a ponytail and so there are kirbys all over the place. I always think it's almost embarrassing to be out in public with it, so I always wear a cycling cap or a do rag afterwards. Living in Norway they're quite useful too as it's often quite cold in the mornings when I go out. I bought a really nice bandana on TE that I quite like, and there are other cool ones that you don't have to tie as well.
Think orange. Earn success.