At this moment, only polygonal geometry is supported.
In the hair object's "generate" tab you need to generate the geometry first.(flat, tri, quad, circle etc.).
There's no hair shader yet but you can create a corona material with translucency, anisotropy etc.(a layered one would be best) and apply it to the hair object.
The thickness and other parameters like bend, twist, curl can be controlled by the native c4d material which should be under the corona-material on the hair.