I suppose it has to do with the maker, the hair style, and how you yourself want it.
If the head has a zipper on the back to close it, a detachable hair piece might be best, because if you sow it on, it might be hard to use the zipper, you know? x3
If it's like a punk hair mohawk thing, it's usually sown on.
Someone I had met here on the forums actually got a fursuit with various coloured hair pieces/wigs, so he could always switch it up.
I guess I would say from seeing various head style and such: Unless there is a reason to have it detached, just sow it onto the head.
Hope that helps