Try duck brand rug tape. You can cut it to any size, sticky on one side and spongy on the other. I have used them for clippies, work great. I don't know why it wouldn't work on a headband, you might need to still use some hot glue.
I bought mine at Walmart, can't remember the price, but was a huge roll, in with the paint area. I don't think it cost much though.