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Cut a stocking leg, or use a knee high. It's stretchy and you can control the tightness.
When my headband gets too stretchy, I just double up around itself and wear it that way. Everyone recommends knee-high..I still haven't tried that.

 You know you don't have to double up if you find it can't double up without it hurting; you could just tie it in the back or side or top and it'd look like a cute bow. That's what I would do until my hair was long enough for me to wear the puff further back and double up. And I would only double up at the end when the band was way back where it wasn't squeezing my skull.