FWIW, the reason bike helmets work like they do is because they absorb energy from a fall (by breaking) and keep that energy from reaching your head where it can do a lot more damage. If you are wearing a stocking cap made of this stuff, then it doesn't really absorb energy, it just spreads the impact out a little (like if you had a hard shell wrapped around your head). Bike helmets work because their hard shell makes sure that the crushing happens an inch or so away from your skull.

I'm not sure if/how this stuff would be any better than a regular foam helmet. It sounds like it was intended for use in the snow, where different kinds of bad things can happen to your head than on the road.

What would be interesting was if this stuff could break like a foam helmet under impact stresses, then re-join the broken parts once the impact stresses are gone, like it really was made of Silly Putty.