Step 5: Construct the Lining
Stitch the lining pieces together. They're kind of like pie slices, if you ignore the curving parts near the wide end. For your first hat, do the lining first to get a feel for the curves of the crown. Otherwise you can do the main pieces first and then the lining, it doesn't really matter.
You may be tempted to stitch them together in pairs and have three fat pie slices, but resist that. Stitch two segments together, then add a third, for half a pie. At this point the temptation is to add a fourth segment (and then fifth, etc) but don't do that either. Stitch the last three together just like the first three, so that you have two half-pies.
You can then sew the final seam, which will now be one straight line. Trust me that you do not want to try to stitch the sixth piece of a pie in place around the point of it. Even the last third is difficult - going around points is just Hard and there's no need to do that here.