Usually paint is used for the pony's body.
You can also dye the body, and the hair.
The most common way to change the hair color is rerooting. You can buy hair here:
Doll Hair- DOLLYHAIR.COM Saran and Nylon for rerooting or
my little pony custom, dolls, saran, nylon hair, fairy wings stockists, blythe, eye chips, Sindy, angelina, dolly hair, reroot, supplies and many other places.
These sites will also help you get started...
this will help with painting the body
Birth of a Custom Pony - How to tips!
LOADS of sites can teach you how to reroot, here are a few... the video tutorials are really helpful. watch them all to see how you want to do it.
how to reroot
Aikarin.com - Custom Pony Tutorial - rerooting/rehairing
video tutorials
Video tutorial for the “Reroot Tool” rerooting instructions « My Little Customs
Video tutorial for the “Knot Method” rerooting instructions « My Little Customs
Re-rooting your doll / Blythe – video instructions / tutorial – The Lock & Loop Technique^_^ « My Little Customs
more tips and tutorials
Doll Hair- DOLLYHAIR.COM Saran and Nylon for rerooting
Doll Hair- DOLLYHAIR.COM Saran and Nylon for rerooting
Doll Hair- DOLLYHAIR.COM Saran and Nylon for rerooting
painting eyes
Aikarin.com Custom Pony Tutorial: How to paint pony eyes
how to dye the pony's body
Changing Body Color
That should get you off on the right foot!