Hi!This is what I do: I tie them onto a rubber band. I also make a bow for ponytails (tie a knot onto the rubberband just in case before you make the bow). I've done this for years now, and works very well. HTH!
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This is a brilliant idea.
If I were sure that I wanted to use a twilly as a headband only, I would probably sew a band of velvet (or any textured fabric) on one side to have it not slip in the hair.