It is better to shave, but I have consulted a few guys who needed (or wanted) to keep their existing hair until they were sure they were going to be happy with the transition.

The best way to deal with this situation is to tack any loose hair down with glue before you attach. This will only work if the hair that you are tacking down is fairly thin, but if it is thin enough it will provide a fairly stable surface for the unit to attach to.