Pycnofibres

http://en.wikipedia.org/wiki/Pterosaur
"Pycnofibires
At least some pterosaurs were covered with hair-like filaments known as pycnofibres, similar to but not homologous (sharing a common structure) with mammalian hair. Pycnofibres were not true hair as seen in mammals, but a unique structure that developed a similar appearance through convergent evolution. Although in some cases actinofibrils (internal structural fibres) in the wing membrane have been mistaken for pycnofibres or true hair, some fossils such as those of Sordes pilosus [a pterosaur] (which translates as "hairy demon") and Jeholopterus ninchengensis [a pterosaur] do show the unmistakable imprints of pycnofibres on the head and body...
The term "pycnofibre", meaning "dense filament", was first coined in a paper on the soft tissue impressions of Jeholopterus by palaeontologist Alexander W.A. Kellner and colleagues in 2009.^[6]"

http://pterosaur.net/anatomy.php
"Most pterosaur fossils do not preserve skin or other aspects of integument in much detail. However, there are some pterosaurs specimens that do preserve impressions of body coverings. From such specimens, we know that pterosaurs were partially covered by hair-like projections, now called pycnofibres, that would have given them a somewhat hairy or furry appearance across at least some of their body. Some specimens, such as the anurognathid pterosaur Jeholopterus seem to have been particular well endowed with pycnofibre "fur". While the full range of functions and effects yielded by such coverings is difficult to gauge, it is likely that they served, in part, to provide insulation, which provides additional evidence that pterosaurs utilized rapid metabolic rates."

http://en.wikipedia.org/wiki/Feathered_dinosaurs
It is not known with certainty at what point in archosaur phylogeny the earliest simple “protofeathers” arose, or if they arose once or, independently, multiple times. Filamentous structures are clearly present in Pterosaurs, and long, hollow quills have been reported in specimens of the Ornithischian dinosaurs Psittacosaurus and Tianyulong.^[33][21] In 2009 Xu et al. noted that the hollow, unbranched, stiff integumentary structures found on a specimen of Beipiaosaurus [a Therizinosauroidea] were strikingly similar to the integumentary structures of psittacosaurus and pterosaurs. They suggested that all of these structures may have been inherited from a common ancestor much earlier in the evolution of archosaurs, possibly in an ornithodire from the Middle Triassic or earlier.^[37]

Also see this:
http://archosaurmusings.wordpress.com/2009/08/05/what-on-earth-are-pycnofibers/