My most successful fezes (fezzes? fezi? fezim?) were made by triming the ESCI/Italeri Polish Lancer czapka down to look like a fez. The dashing moustache sported by the lancer gave the face a decidedly Turkish air when mounted upon the body of an Airfix/HaT WWI German body to create Turks for the Russo-Turkish war of 1877. I did this project years ago based on rules published in Wargames Illustrated #5 - long before a similar project was even a gleam in StreletsR's eye.
Another possibility is to use short lengths of 1/8" (3mm) dowling, though they are really too cylindrical and a proper fez is tapered. A piece of plastic sprue of suitable thickness might be used instead. Either way some carefull sanding or use of a Dremel tool can give the right conical shape.
My earliest fez was created from the old Airfix Union Infantry by trimming the bill off the kepi. While the figures served as stand-ins for the Eyptian Army when fighting the Airfix Bedouin *** Mahdists, these figures are now languishing in the deepest, darkest corner of the wargames cupboard and haven't seen the light of day in at least two decades.