It's a little tricky, I think the best display of this process was on a new features movie I saw somewhere on the net. I don't even know if I would have gotten this if I hadn't seen it on the movie. So here we go:
And I'm being thorough for anyone who has this problem but is not familiar with every process in XSI, I'm sure you know how to do some of this.
Create sphere. Apply Hair (the order of the first few steps doesn't matter). With the sphere selected create a weight map. Property>Weight Map. Goto the hair panel and select Modify>Transfer Map. You're cursor will turn into a black arrow with the word "pick" underneath. Goto the right Toolbar and click on the "Scene" bar. Then follow the browser until you reach you geometry. Then expand it until you reach the weight map you assigned it. (This is usually located in the "clusters" folder of an object) Now with the hair selected hit ENTER and get its ppg up. Goto Effects>Cut Map, and the "plug" button. It''ll ask if you want to connect or disconnect. Select connect. Now when you browse thru the window that pops up (which should only have you hair node in it) you find the weight map you created.
This is also how you apply a texture map to a hair shader. Same process except switch weight map with texture support.
Hope that helps!!