I used a plastic hairband and mounted the hardware in a small plastic box I got from an electronics store mounted to the top of the band with a pair of small bolts. The hard part was finding a simple black plastic one that did have sparkles all over it (trying to preserve as much dignity as I can), was big enough to fit on my big head without feeling like I'd stuck it in a vice, and was wide enough to not snap first time it was put on from having holes drilled in it.
[edit] Using the headband also let me use some cable ties to fix the cable to one side of the band (through some conveniently drilled holes) as stress relief so it couldn't get pulled out of the USB socket accidentally with frantic gaming. Speaking of which, consider getting a long (I got a 5' long one), flat USB cable so you've got plenty of reach and don't have your head tied to your PC, and so it'll lie against the *whatever you mount it on* better.
A more "manly" solution might be to put it on the bill of a baseball cap, though that's more likely to move around or be put on in a different orientation requiring more frequent calibrations.