Hot melt glue
Liquid Latex (see my earlier 'ible for safety warnings)
Acrylic artists paints and inks
Aluminium car repair mesh
If I were to do this one again, I would certainly use a bald cap. The method used here turned out to be far too bulky at the front, although it was comfortable and quick to put on and off.
If using a bald cap you need to buy one of the heavyweight types or make your own using at least 20 layers on the upper dome. You also need to allow extra time to fit it.
Here I have use a shop dummy for the stand, but I would use a glass head in future since the head of the dummy was a bit small.
For the base I have used a baseball cap, the brim has been trimmed down to an inch wide, the brace has been cut off the back and a felt liner has been added. The cap is on backwards. The dummy head has been covered in food wrap to protect it.