How do you line a headband

I didn’t find anything on this but feel free to send me to a previous discussion if this has already been covered.

I’m making a headband to match a scarf. The yarn is wool blend and I wanted to put a lining on the inside so the wool didn’t make the skin itch. How and when do I attach a lining?

Thank you so much. Everyone has been so helpful so far and I appreciate it!