Season 6 has thus far found Sansa dirty, terrified, on the run in the frozen North, and embracing the more practical side braid. "Physically, it's not as sturdy, as I don't think she was planning on running through the forest the morning she leapt off the walls of Winterfell. But that loose look is popular right now. It's not hard either, so it's worth the trade-off."
Sansa's hair is Shannon's favorite. As the character known to constantly redefine personal misery, she says Sansa’s styles lend a "chameleon effect": her wedding was probably a high point, transitioning her from abused hostage to untouched trophy wife; now "Sansa is in survival mode. She has no safe space to turn to, so she's doing her best to blend in... She starts out wearing Northern-style braids around her temple while living at Winterfell, and then adopts the outrageous hair roll worn by the court ladies when she's in King's Landing."
When Margaery came on the scene, Sansa started wearing her hair in loose twists like her friend. While traveling with Littlefinger, Sansa's hair is very similar to Catelyn's. And finally, when she's at Winterfell trying to survive her new husband Ramsay, she sports the Northern style again.