Plaiting is definitely the way to go. If the mane is long enough, try a lattice plait, also known as a 'diamond' or 'trellis' plait.
It's really hard to find good pics of them, but google and you should get an idea!
Otherwise, I'd recommend a running plait.
Keep them in with braiding bands - tiny elastic bands you can buy at any tack shop. For a lattice plait you'll need quite a lot! And I'd definitely say plait with the hair slightly damp too.