I originally saw this idea on Delia Creates and basically just copied her tutorial. It's super quick - no sewing required! - and if you have hair like mine, it's pretty awesome to keep all those crazy fly-aways in check.
Step 1: Find an old shirt lying around that you can cut up. Alternatively, you can pick up one for cheap at a second-hand store. I chose this shirt because it was right before we were leaving on our trip to OR and we'd be right near Astoria :)
Step 2: Cut off one of the sleeves on the INSIDE of the seam (i.e. you DON'T want the seam on the sleeve).
Step 3: Cut off the hemmed edge. You can cut extra if you want your head wrap a bit skinnier, like I did.
So this is what you'll be left with for your wrap. Since it's made from a t-shirt which is jersey fabric you don't have to worry about it fraying. It will probably roll a bit but that just adds to the comfortable styling.
Step 4: To give your wrap a bit more style you can make some cuts in it so it looks like three bands but they're still all connected at the bottom.
I ended up cutting off one of the slits because it felt too wide on my head but even with just the two it really holds all of my hair back and is pretty cute looking to boot! (Just don't look too close or you'll see all my gray hairs.)