if you're using one of those really skinny headbands, you could make an i-cord.
There's a videio showing how to make i-cord here: http://www.knittinghelp.com/videos/knitting-tips
- it's near the bottom of the page.
If you're using a wider headband, there are video for circular knitting, either on 4-5 double pointed needes, 2 circular, or magic loop methods. - probably same page as above.
Or if circular knitting seems too challenging for now, you can cast on 50 stiches, whatever is long enough to cover the headband from end to end plus an extra inch, then knit for 3 inches (or how ever many will cover the headband with an extra inch) and bind off. Then seam the rectangular piece of knitting around the headband.