Using a mental ray shader simplifies the tuning a lot when you use multiple proxies to grow hair, and you want them all to look the same (for example, when growing long hair, you might want to have several proxies, but they're all the same hair in the final render, so just by tweaking one material, all proxies receive changes. No copy/paste is needed so it saves a lot of time). Plus, the shader p Hair_TK gives good results in my opinon.
I used shadow maps for the rendering tests, then turned them into raytraced shadows for the final renders. Sometimes, when you've got more than 2 or 3 spots, rendering with raytrace can take a very (very very) long time, or even crash. So, I employ a little trick and use raytraced shadows on only one spot: the key light or the backlight. It helps you to get better render times, and mixing raytraced shadows and shadow maps can produce some interesting soft shadows effects inside the strands.
I rendered hair with the original mesh of my character here, with a matte/shadow material applied to it. Then I saved it as a TIF (Fig.34).

Fig. 34
Rendering and Final Composition
Everything was set, so it was now time to render and compose. Here, you can see the simple scene setup (Fig.35).
The mental ray settings can be seen in Fig.36.
Here are the light tests and close-ups (Fig.37).
My render passes can be seen in Fig.38 – from top left to bottom right: render, Z-Depth pass, ID pass, Hair render. I don't use a lot of passes, as you can see. I like when my render comes out fine and needs only tiny adjustments in post.

Fig. 38
I could have rendered a Z-Depth pass for the hair too, but it was much simpler to blur them manually in Photoshop using the Waterdrop tool.
After some more tweaking involving color adjustment and adding depth of field, here is the final image (Fig.39).

Fig. 39
Conclusion
Thanks for reading, and I hope you have enjoyed this Making Of and had the opportunity to pick some useful tips.
I would like to thank all the people in the WIP sections of numerous forums around the web who helped me during this project, who gave me support and very useful advice. These kinds of communities are great, make you feel you're never alone, and that helps a lot.
If you have any questions, don't hesitate to contact me by email.