SPOILER: (highlight to read)
It's actually supposed to look very bug-like, since she's infected Zerg.
Anything more solid than foam or latex is going to be nearly impossible to work with.
I would recommend using wire and foam to make the underlying structures of the hair, and then going over it with latex. Lots, and lots, and lots of latex. Or resin, but resin won't be nearly as flexible.
After that, it's all about the spraypaint!
This is a costume I want to do at some point as well, and that's just how I'd do it.