If you were a ninja, how or where would you were your headband? During the course of the serie we've seen a lot of different ninja's who had different ways to wear them: Naruto wears it around his forehead, Sakura uses it as a ribbon in here hair, Kakashi uses it as an eyepatch, Ino keeps it around here waiste, Hinata around here neck, Shikamaru has only the tag on his upper arm, there are some ninja's who made bandana's out of them etc.
If I would be a ninja, I would carry it around my upper arm or upper leg, because on my head it would be itchy and my hair would look funny