I made one a while back and just used a heavy duty fabric rectangle with ties on it. I stitched everything to it. I don't trust glue alone. Sometimes it helps if you glue them in place before stitching so they don't slide around, but sometimes, it makes it hard to pass the needle through.

I'm actually making one of these right now. I started with a headband I found in a sale rack for a dollar or something, I glued only the middle part of the fabric on so it would stay while I stitched the sides. Super easy, took me about fifteen minutes. (Something I learned, don't fold the headband while you are waiting for the glue to dry, it'll make funky crinkles when you straighten it out. I thing putting the headband on a balloon while it does so would probably be best)

But now that it's been mentioned it would probably be a good idea to go ahead and sew some hair combs to it as well for extra stay-in.

My hair is short and SLICK as I don't know what.

I bought a headband off of tribe and it had and mini clip sewed top and center and ties for the back of my head. The tie thing did NOTHING for me - so I chopped off the ties and attached the 2 ends of the tribal headband to my store bought regular headband (which HAPPENS to look like kuchi coins - go figure) They are both visible lying side by side on my head - the tribal headband held in place at 3 points - the clip top and center and it's attachment to the headband just over my ears where the decorating falls in front of my ears.

This doesn't sound very sturdy - but somehow the way I have it is working......

you can start with anything you can put around your head i think :)
i've got some i started with store-bought headbands, one it a belt remnant, a couple are just pretty fabric that i stiffened up one way or another

I found a simple headband that was plain black at Wal-Fart for cheap and I'm still in the process of fixing it up.

I use black elastic that you get at any sewing craft shop for my headbands. I sew beaded medallions, kuchi earrings, and turkoman tassels to it. The elastic stretches to fit my head and for extra security I use two decorated barrettes that snap open/closed to hold it in place when I do back bends. It also helps keep it on my head when I do floorwork style backbend undulations.

I made mine from scratch with some fabric. I made a wide rectangle of fabric with ribbon out of each end and then stitched flowers and beads onto it. Then I put a coin cluster on the front to weight it down so it sits nicely in place and the ribbons tie at the back of my head. I have long hair so I like to pin it in place but that's just because I'm a klutz and know full well I'd probably knock it off otherwise :) It's quite steady with just the wide ribbon.