A couple of interesting articles: Getting to the Root of Fur ? Phenomena https://virtevo.wordpress.com/2015/0...r-and-mammals/
Essentially the first hairs were 'feelers' and go a long way back.
From the 2nd article:
"The solution was to develop some sort of tactile apparatus—in this case it was vibrissae, or their more common name, whiskers. The ancient mammals crawled about their burrows using their long and rigid hairs to feel
their surroundings. This theory is supported by the indentations in the therapsids’ skulls that are akin to those of modern whiskered mammals. The Thrinaxodon, for example, lived 250mya and had pitted foramina—which are tiny openings that nerves pass through—on its skull. This species was also covered in scales for the most part. (Keep in mind that although this is strong evidence, it is still not proof: there are a couple species of modern lizards that have similar indentations, but do not