This short tutorial will show you how to add User Data with XGen splines. It should be noted that custom attributes in XGen are not the same as custom attributes in MtoA. 
 
When texturing, you will need to create parameters in the "Custom Shader Parameters" in the XGen window (they will be stored in the .xgen file). When the XGen procedural is rendered, XGen will read from that file and will create Arnold user data on the curves node.
 
You can create different Color "Custom Shader Parameters" in XGen that you can paint.

 

 

 
And then use a ramp shader for the hair color and assign these colors to different levels of the ramp.