She's either found or made a cylinder and covered it with the fabric. I would do it using the spray adhesive but you have to be careful using that stuff. I made a lampshade covering it in fabric and smoothing it out. Then you glue on the trim. It's a neat idea! It'd be neat to have at your craft booth as a way to display your headbands and to sell as well.
Here's a sample of a mailing tube 5" Mailing Tube
Here's what my lampshade looks like for my son's room.