When it comes to hair accessories, it's always best to remember....Keep It Simple.
If your hair is thin and/or fine or naturally straight, you may have a problem with hair accessories stayed anchored in your hair. A trick which many stylists use when adding a headband to thin/fine and/or slipper hair is to either create a hidden bobby pin anchor before adding the headband, or only wearing headbands with teeth or moldable to the head.
Thin headbands are always in style and those hand made in France out of cellulose (faux tort) are always beautiful, elegant and easy to wear. Headbands can be worn by anyone (male or female) from 2-92. Seriously, headbands can work with every type of hair (straight, wavy, curly, kinky) and length and style.
You can even select headbands to give your hair the look of highlights, lowlights or just a pop of color. I think headbands are the universal hair accessory,
Why not start with a thin, simple headband that either has tiny teeth, is metal (less likely to slip) or create a series of tiny anchors with bobby pins applied in Xs to help hold the band. You can wear the headband right at the hairline to add height or several inches behind the hairline.
Good luck to you and have fun experimenting.