Someone over on the Racing forum asked why some of the pros wear cycling caps under their helmets. I started to ask this question over there but decided it was more universal.
I did wear a bandana made of (what else) Coolmax. Then I saw this very lightweight Coolmax fleece headband at sierratradingpost.com for some ridiculously cheap price, and, of course, I had to try it out. It is about the same thickess of the bandana folded in half, is wider in the back part so you can pull it down over your ears. It makes a fantastic sweatband, very absorbent. I wear it with the "ear flaps" up since it is warm. I thought about wearing a cycling cap under the helmet, but it is too hot here. You lose something like 40% of your heat loss through your head so you definitely do not want anything to keep heat IN during the summer in New Orleans ("This is your brain. This is your brain..." Got it?)