Get a "non-latex" condom (I think they are vinyl), unroll it completely, and knot the two ends snugly around the bottom end of the headset. Quite inconspicuous and not as immediately obvious what it really is as you might think, (especially if you use one without a reservoir end.) The vinyl holds up quite well to headset grease. Friction from steering movements will eventually wear it through but they're pretty tough.

Agree, a proper fender is much better but this does protect the headset very nicely.