Use small when you are talking about the SIZE of the object.
- The wristwatch is small.
- The wristwatch is smaller than the wall clock.
Use short when you are taling about the HEIGHT of the object.
- The crayon is shorter than the pencil.
- Mike is the shortest in the group.
... in the above case, it should be:
- I have short hair.
- I am short. (when you are referring to your height). I am small. (when you are referring to your size)