This has been discussed before but I can't find the thread:
How do you do fezzes?
Not talking about the thing next to the elephant
http://www.plasticsoldierreview.com/Review.aspx?id=1163
but rather what's on people's heads here
http://www.plasticsoldierreview.com/Review.aspx?id=794
It is such a simple form there should be a way to carve it from a shako or such, so no need to sacrifice a Waterloo1815 set or two just for the heads?