Stitch down the folds; I use whip stitch here, but you can a blanket stitch or slip stitch as well. A running stitch may not be secure enough, though I haven't tried it.
There are two important things to make sure of, depending on how you intend to finish the doll.
If you are not going to give the doll hair or a permanent hat, the stitches need to be tiny and neat to avoid being snagged. You may not need to worry about how smoothly the folds are sewn down though.
If you are giving the doll hair, it's best to sew right to the very beginning of the folds, and to sew the folds down tight and smooth, as an unsewn end of a fold or little ripples can form points that will poke up through the hair.
You may need to curve your line of stitching a little where the folds starts, in order to get the fabric to lie flat. The hair and/or hat will cover any messy stitching.