I wear these mini soccer headbands when im working out, because my hairs too short to tie back :
http://www.worldsoccershop.com/21604-bw.html?CAWELAID=778653989&cagpspn=pla&gclid=CMmrkYDo97QCFdKd4Aod3EQA7w
They work great and dont slip around, but i would wear them as little as possible avoid hindering the dread process too much
updated by @k-money: 07/19/15 09:35:37PM