I used Bristol Yarn Gallery : Buckingham and a size 5 needle. The yarn is fingering weight and is 80% Baby Alpaca and 20% Silk. I really like how it turned out.
Headbands usually slide off on me too, so do pony tail holders. I wore this all day yesterday and didn't have any problems. I have very fine hair and this still seemed to stay on well. I also usually have the problem of headbands poking behind me ears, this solved that!