Well, how do they?
I mean, all that hair has to go somewhere.
Where does it go?
An inquiring mind needs to know.
Sorry for the popups.
As the page linked above seems to be overwhellmed, I can give a short answer. Generally its’s done with a “bald cap” - a peice of latex is attatched to the forehead and neck and painted to match the natural skin colors. However, for certain roles (Persis Khambatta in Star trek: the motion Picture for example) the actor may have his or her head shaved bald.
For a quick look at how bald caps are applied: http://www.danchan.com/feature/2001/06/08/baldcap/baldcap.htm
Thanks, guys. I knew about the bald cap thing. What I have trouble comprehending is where all the hair goes for people with a lot of it.
The thing that got me started on this in the first place was an episode of Friends that I saw tonight. In in, Christine Taylor (she played Bonnie, Ross’s girlfriend) decides to shave her head. Normally, she has a ton of hair. But with the bald cap on, she looks to have no hair at all. It has to go somewhere. One would think her head would become really big and lumpy with all the hair being smushed down under the cap, but it’s not.
I understand how the whole process works for people with relatively short hair: you mat it down so it lays flat, apply the cap, and “paint” the cap so it matches the rest of your skin.
But what about people with thick, long hair?
As I understand it, a bald cap can cover a surprisingly large amount of hair.
I think that in most cases the bald cap is enough. Most of the large apearence of hair is air. I haven’t seen the show in question, but the actress may also have worn a wig before “shaving her head” to make the change all the more dramatic. Heck, this was a bit player, wasn’t it? I’d guess that if the producers of Friends wanted her to actually shave her head, she would have done so.
The thing to keep in mind is that hair doesn’t really occupy all that much space. Like any good insulator, it’s mostly air.
I realized just how true this was when I shaved my head. I was fully expecting to have all my baseball caps suddenly become just a little bit too big, but as it turned out, they all fit just exactly the same as before. In fact, because they now have to slide over bare skin instead of my formerly relatively silken locks, sometimes it seems like they’re a little tighter. 
As a kid who grew up with Dick Smith’s Monster Makeup Handbook, I know that the hair just goes under the latex cap. You can make your own (as Smith shows), by painting liquid latex over a head-sized plastic ball several times, powdering the result, and peeling it off. Ofr you can buy it at a makeup supply place.
A word of advice: If you’re goinmg to do a partial bald head, then take a full bald cap and glue crepe hair to it. I was in a production of 1776 where they tried to cut corners, making slits in the bald cap of the guy playing Ben Franklin and pulling his own hair through them, leaving a bald top fringed with hair.
Only it didn’t work out that way. His own hair refused to just lie flat after it gor out of the bald cap. It billowed out, expanding in the air. He ended up looking more like Bozo the Clown than Ben Franklin.