I toyed with the idea of this headband but I felt that I needed more protection from the cold, being bald and all. In the end, I have something like this Pearl Izumi Barrier Skull Cap (Unisex) - Mountain Equipment Co-op. Free Shipping Available but I didn't pay this much for it!!

Edit: here it is: http://www.mec.ca/product/5016-874/c...ll-cap-unisex/

The top is quite thin but I find it sufficient, and on especially cold days, I'll put my helmet cover on and that will stop air from flowing through the helmet vents.