I like using wire (it's really really cheap like $5 for a lot) from hardware stores to make a shape that stays on my head. I have a mannequin head that I bought from Ricky's I use that for everything. They sell mannequin heads for displays around the garment district for really cheap too. I make the headpiece on the mannequinn and figure out if it is the right shape, etc.
For the ends of the wire, you can make little loops to put the wires together and tape them. You can cover the wire with fabric, sequinned fabric (I just did that last weekend), tape, etc. If you are not using tape, you use a glue gun to stick the fabric on the wire. I have been using twist ties to wrap things to the wire frame for the past few headpieces I've made and they have stayed up. Other ideas are also to wrap el wire in there to make it light up. After making the headpiece, you can keep it in place by putting in a ton of bobby pins. If you make the wire frame the correct shape, it should actually fit pretty well..
If you can afford it, this place sells really serious wire frames that are much sturdier than the ones I make. They weld the pieces together - I have not learned to weld yet and don't have access to a metal shop so it isn't happening for me yet.. http://sambacostumes.blogspot.com/
In addition, feathers can be added to plain headbands in order to make a really cute headpiece. Hotglue works well for that. You can sometimes find feathers that glow in blacklight for some extra pop.