Styling pony hair is best achieved after conditioning while hair is still damp. The traditional pony hairdo is a simple comb out of the mane with a curl that matches the curve on the neckline of the pony. The tail is a simple single loose curl. Both of these can be easily achieved by brushing smooth and styling with your fingers. For the mane, curl along the natural curve of the neckline and let air dry. For the tail, simply wrap hair around finger and release. let air dry. With a little practice and you will be able to achieve this with a brush or comb alone.
More advanced curling techniques are required for other pony 'dos', such as the ringlets style hair for the candy cane ponies, the rainbow curl ponies and goldilocks. Ringlets can be achieved with rags, curlers, or any tubular device. It takes practice and patience, but is simply a matter of working the hair along the curler in sections and allowing to dry. Luckily synthetic hair is very very easy to work with and keeps its style until wet and redone, so i suggest you practice on various looks and curling techniques until you find one that suits you. Experiment and have fun!
Word of caution: NEVER use a curling iron or any other heat type curling source on synthetic hair.