Use a thick blunt "blanket" needle, thin sharp ones are useless, they break too easily and it the pony jumps they get pulled out of your hand and go flying (had that happen to me with a head-shy poneh once). If you can get them the curved "mattress" needles are quite good. Basically the bigger the needle the better! Knitting wool to match or contrast with the mane is better than thread [IMO], use a figure 8 stitch - push the needle in the middle of the plait and loop the wool round the left side, then push the needle through the middle again and loop to the right (or you can got right first, then left!) Do that two or three times, then fold or roll the plait up and stitch it in place the same way...