So easy that you don't need a single crafty bone to do this.
First, cut a 1/2"x 12" (or longer, depending on length wanted) strip from three different tees. I keep old t-shirts that get holes in them to use just for these types of crafts. You can pin them to something or tape them to your desk like I did : )
Start braiding! Mine didn't want to curl so much so I was using a pin to hold them in place while I was folding the edges back.
Once you've braided to the end, pin in place and trim off the excess. You can either hot glue the ends together or sew a line across them. I did a little hand-stitching... but I'm crazy like that.
I then did a fitting and measured out how much elastic I would need to finish it. Use a little less than what you think you'll need - the headband will stretch, trust me.
Place the elastic about 1/2 an inch onto the braid and wrap a folded piece of coordinating fabric around it. Again, either sew in place or hot glue. Do this for both sides of the braid.
Done. See how easy that was?
Now admire your handiwork on your daughter...
And let your other daughter try it on because she has to do everything the older ones do : )