The White Headband is the one Jin wears at the Battle of Komoda Beach. It joins your gear by default after the Prologue, so it is the first headband you own.
Play through the Prologue. The headband is added to your gear automatically.
Aozora Headband
Aozora Headband is a headband hidden beside the steps of Sensei Ishikawa's Dojo in Izuhara. It has no map marker, so use the Guiding Wind set to vanity gear to find it.
Band of the Second Son
Band of the Second Son is a headband hidden on the pagoda roof at Omi Monastery in Toyotama. It has no map marker, so use the Guiding Wind set to vanity gear to find it.
Chaos Headband
Chaos Headband is a headband you get from "This Threefold World", a side tale (Norio's tales, part 9 of 9). There is nothing to search for: play the tale and it arrives with the rewards.
Chikurin Headband
Chikurin Headband is a headband hidden in a boat by the shore near River Child's Wetlands in Izuhara. It has no map marker, so use the Guiding Wind set to vanity gear to find it.