The problem with clothing is that we generally model it as a surface with no thickness. To be 3D printed it must have thickness, and every printer has a minimum thickness that must be followed or it won’t print.
Hair needs to be modeled as a mesh with thickness. See the pic below. The strands of particle-hair that most people create in blender won’t print.
Just joining them together is insufficient
With most places, you can leave things as separate objects joined together. As long as the objects intersect each other they will print as a single object. So when it comes to armor and such, you can model the pieces of armor separately and as long as they intersect the body, it will all print out okay. If there’s too little intersection, you might get a warning that you’ve exceeded the minimum thickness requirement, or the part might break off easily.
See this site for some inspiration…
Here’s the hair on one of the models. It was obviously modeled as a mesh (probably sculpted.)
For cloth, check out the one called Hoody and note how thick the hood is.
[ETA] Here’s a shot showing how he attached the shoulder plate to the upper arm. See those pegs joining the two? They just need to intersect the body. If you’re planning to paint your model, you might want to print the armor pieces separately and join them all together with a sprue, like an airplane kit.