I can't claim this next tip as my own; I got it from a friend.
If you don't want your baby to rub all their hair off when they sleep, then buy some satin and put it in their crib. It doesn't necessarily have to be satin, just a slick fabric. I don't think I bought satin, I just bought what was cheapest.
I folded the fabric so it was just big enough to cover the whole area of his head. You also want it long enough so you can tuck it into the sides of the mattress, you don't want loose fabric for safety and efficiency reasons. It's that simple!
If you really want to prevent hair loss, then you could have a piece of fabric that you move around with baby, so that wherever baby is, satin is there too. I think that's a hassle, but if you're all for it, more power to ya!