Take a new pair of tights. I use size 4-6x. Snip off one leg. OR for a cheaper version...You can use knee highs. At Walmart a pair is about $0.47 in the little plastic containers. Get the smallest size available
Make a loop overlapping the top & toe of the tights.
Take your needle & thread, stitching these two together.
I just use a back and forth motion. If my skills are lacking it's because my husband does all the hand sewing...buttons, etc.
Now go back the other direction with your stitches.
Cinch them together, tie it off & snip the thread.
Now clip off the toe.
It should look like a headband now. When I make these for myself I just stop here. To Make the Loop:
Snip off some of the waist band from your 1 legged tights. (about 2 1/2 inches) Or if you are using a knee-high, clip off the elastic top of the knee-high you are using.
This is what it should look like.
Glue the top edge. (low-temp glue gun!)
Fold top to the middle. Glue the bottom edge.
Fold it to the middle. 
Before your glue dries strech this piece. Once dry...
Flip the headband inside out, so that you are glueing on the underneath (hidden) side of the headband.
Be carfeful to use a very tiny amount of glue when making this loop. You don't want anything hard against the babies head. Glue the 2 sides of that waist band together.Flip it right side out & ta-da!
