As a preface: I own an I4. Those things sit LOW on your forehead. After getting paintball kissed through a bandana...and then again through a Dye Sandana.. I needed something "more" - and I certainly wasn't going to spend $35 on some 1ply pre-fab designed bandana that everyone and their rec-balling brother wears....so... yes.
Materials
*1.5 yards of cotton fabric. Cotton.
*Matching/contrasting thread
*Old bath/car towel
*sewing machine or hand needle and patience.
*iron
*ironing board or equivalent
*Yard stick or measured cutting mat
*straight edge
*marking pen/marker
*scissors
*Optional cutting wheel
*seam ripper
*beer - as its a function of patience. 12 pack first time. 6 pack every subsequent.
....and I think that's it.

1) Go get COTTON fabric from a fabric store. Purchase 1.5 yards of the stuff. You will only need a 55x10" strip, but there are other things to be made from fabric- like lens bags or mask sacks, etc. Mainly - you need the 1.5 yards for the length. I'm working on finding a way to reduce the purchase below a yard, but even cross cut diagonal stitched halves don't appear to be strong enough to repeatedly tie on securely. Note - the majority of the time we're working with the cotton cloth - we're going to be working inside-out
2) Iron - you want a flat, smooth surface to use and measure against. The fabric is usually super-starched, so a hot and wet iron should suffice. Iron an ironing board-width segment of the longest direction.
3)Cut - From the factory edge (about as straight as you can get) cut off approx. 10 inches from the larger fabric piece.

4)Cut Sides - Start 1-3 inches from the outer edge. Measure out a 45-50 inch piece (dependent on head size. I've found 48-50 to be a bit more universal for adult heads). Cut fabric off of both sides for clean working edge.

5)Back to the ironing board.
6)Fold in half length-wise, giving you an approx - 25" x 10" piece and iron.

7)Fold in thirds width-wise. Use Iron to set heavy creases.
7.5) Iron to flatten a section of your towel. If you skip this step - stitching the towel to the cloth is going to be exceedingly difficult.

8)Back to the cutting board. Cut out 2 - 10" x 2.5" pieces of bath/car towel. Mark center using marking pen. This mark will be used for placement and centering when aligning with the creases in the larger cotton cloth.

9)We're only going to be working with the outer-most panels of the tri-fold portion of the 50x10" fabric. On one side - stretch and pin the towel to the printed side of the fabric. On the opposite panel - opposite side, pin the towel to the non-printed side of the fabric. I usually try to center the towel on the panel - it makes joining the pieces together a bit less of a hassle.
10)Using a zig-zag machine stitch or cast-over hand stitch - sew one short edge and one long edge of the towel to the printed fabric. After doing that, un-pin all remaining pinned down pieces, pull the corner taught, re-pin, and then sew down the remaining long end...finishing by sewing the short end. Because towel material is stretchy and the stitch pattern manipulates the tension on the fabric- do not expect this to adhere perfectly.

11) Repeat for the opposite side. Finished results should look similar to the above.

12) Re-fold and re-crease your bandana. Check your line/seam and press down firmly with the iron.

13)Set your sewing machine or hand-needle up for a straight/running stitch on the folded (NOT OPEN) side of the headband. Sew the entire length of the bandana 1/4 inch in from the folded edge. Stitching too close to the fold (with fabric shifts and such) will result in sections that aren't held together.
14)Do the same thing for one of the two ends, sewing about 1/4 to 1/2 an inch from where the fabric ends meet.

15)At the open end, locate the two attached panels and begin folding them inside out. I find it easiest to reach inside the tube, pinch about 2-4 inches deep, and drag that out...rinse..and repeat. Keep a careful watch on the sewn end - as it may not be attached. if this is the case, quickly flip the tube back inside out, and run it through the machine again- 1/8th to 1/4 of an inch further in.