I have a hard time with headbands, too, particularly because my head is fairly large. The only ones I've had work are the "versatile headbands" sold at tznius.com. You'll see similar ones in stores, but I've found that they are skimpier in the material that makes the top part of the headband, not as soft, and tend to be made from fabrics that are slippery rather than grippy, so they don't stay in place.
http://www.tznius.com
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