Start from one side and do a Pull Through pony, pulling it through in the direction we are going to make the headband... UP! lol If you aren't sure how to make a pull through, click here for my tutorial.
Then, take the hair left from the pull through and add it to another small section of hair and do another pull through in the same direction.
Do this all the way across until you come to the end of your headband. I ended up with 5 small pull through ponies all linked together to make a headband!
Here is the finished side view!