Yes! Velvet /velour works! I have Garlands of Grace head covers, some of them have a velvet ribbon sewn in at the inner edge and they stay put. The also sell velour bands and covers that you can use on their own or underneath another scarf so they stay put.

The first snood-style head scarf I bough, has a tiny comb attached to the forehead area underneath the inner edge, and it also works well.
I hate when my scarf slips, it is distracting, so I like to use the velvet helpers.

I haven't gotten around yet to sewing any of my own.