I can't remember how to do it, but check this book out. http://www.amazon.com/Braids-Twist-K.../dp/1596680180
I was able to check it out of our local library. It shows all kinds of different multi-strand braiding techniques and shows you what results you'll get just by placing the colors in different orders. I know it isn't exactly weaving like you're doing with a woven headband, but it might give you some good ideas on how to place the colors to get the results you are looking for.