Believe it or not this myth does exist in the comic books but the replacement hair is black (that's why it's black in the movies). The lips being sewn shut was a separate bet and covered in the graphic novel Thor: Trials of Loki while the hair myth was covered in Thor and Loki: Blood Brothers.
In the Marvel version her hair turned black because marvel Loki didn`t want to pay the dwarfs (or something like this XD) First Sif also got golden hair by Loki but after a night it turned into black. It is also mentioned in Blood Brothers, but also more detailed in older comics of Thor. Blood brothers and Trials of Loki are newer versions. I wish I would also have the older comics but there are so many oO