We did have the guys and big accessories (gates, cannons, etc) and the tiny accessories (arm bands, helmets, weapons) seperated into two seperate containers. But that has meant me taking the time to separate it out all the time, so we're going to one bigger bin now.
As for the hair -- it creeps me out too - I feel like the poor little guys must have lost their brains with those empty, bare heads. But my boys actually have made it into part of the game -- the "goods" have hair and the "bads" get their hair popped off. We did, however, spend a good 2 weeks looking for one barbarians' particularly thick and long hair because my 3 yr old was beside himself that it was missing

.
My biggest irritation is that my 3 yr old is still at that age where he carries stuff all over the house with him. So there are little knights and pirates and accessories all over the house. Have those of you with a train table found that it helps corrall the mess?