I use professional heavy duty double sided tape (Sealah brand currently) along the inside of my headbands, but you could also use it on the outside too. It does not show through, is neat and is very easy to use. I wrap them on a diagonal and at the end I use either e6000 or fabri-tac to seal the ends. I don't use hot glue since it always ends up lumpy.
If you want to try it, there is a group buy on here right now for a product that is supposedly even better (and cheaper) than Sealah. I am definitely trying it and if you want to also do a search in the 'group buys' section (afeincreation is the person organizing it). It may still be open, but I'd hurry.
It also is perfect for lining clippies. They look so professional and smooth when lined with this tape. I just reinforce the outer end of ribbon with a tiny bit of hot glue when I do them.
btw - welcome~!
Here is the link to that group buy: http://hipgirlclips.com/forums/group-buys/29523-new-tape-buy-september.html