Let me intruduce to you the new hairstyle of CJ based on Final Fantasy VII - Crisis Core Zack's Hair, I just replace the cap in game for Zack's Hair Wig in general, Since it is an accessory This mod works on cutscenes 

Gameplay Video:
http://www.youtube.com/watch?v=vqxHtiqzCF4

note:
before installing my mod, Install first the whitemod by Recoil the racer here:
http://www.gtagarage.com/mods/show.php?id=53

Instruction:
1 - Open player.img using "img manager"
2 - delete the following in player.img:
*cap.dff
*capblue.txd
*capgrey.txd
*capred.txd
*wcoatblue.txd
3 - import all my files in "player.img folder"
4 - rebuild the archive and your done

Enjoy my mini mod