I don't know. I don't use a hair dryer, so I don't know how hot it gets. I think it should work for PLA. Try it on some thin PLA piece that you don't need (from purging the nozzle or from skirt) and see if it softens.
Another option I heard it works is hot water. I imagine you boil some water and dunk the lion head in. Then pull it out and form the hair before it cools down. Or you could just quickly move it around in a water, so the water resistance forms the hair.
But be careful and don't splash yourself with boiling water.