First, cut a few strips of fabric. You can do pretty much any length or width- I usually do anywhere from 1"-3" wide, depending on how big I want my rosette to be. I usually just cut a strip the length of my piece of fabric. Strip size will determine how big the final rosette will be. The longer and wider the strip, the bigger the rosette.
Roll the glued end tightly about three times. This will be the center of the rosette.
Then start twisting the fabric as you wrap it around the the center. Every few twists secure it with a drop of hot glue.
Just keep twisting and wrapping until you have a rosette as big as you want, securing every so often with a drop of glue.
It might look funky at first, but keep going. After a few wraps it will start to look more like a rosette.
When it's as big as you want, secure the end, leaving a tail on the end long enough to fold over the back of the rosette. Dab some glue on the back and fold the tail over and glue it down. Trim off excess.
You will have a rosette that resembles this. (There are many ways to make a rosette- this is just how I do it.) Since they are all hand rolled, they will all look slightly different.
When you have as many done as you want (I usually use three), glue them down on a piece of felt in an arrangement of your choosing.
Once they are all glued down, trim the excess felt around the edges. Then put a strip of glue where you want the headband.
After you glue down the headband, cover the entire back with glue then put another layer of felt on to reinforce the whole thing. I also put a dab of glue between each of the rosettes on the top side. It keeps them from flopping around.
Once it's glued down trim off extra felt.
And now you have a complete headband. (I didn't have a cooperative model so this is the best shot I could get with it on.)
You can mix and match colors, rosette sizes, and arrangement to create any piece that comes to mind, all in about 30 minutes.