If the headband is not covered, in my experience they are likely to break due to chemical attack – all my uncovered ones broke after a short period and the covered ones have lasted years.
Heatshrink is one easy option, but it looks a bit crappy, especially if it has writing on it. An easy, great looking alternative is braided heatshrink such as this: https://amzn.to/3RUzy9v
It costs a bit more, but looks way better.
A little build tip too: extend the heatshrink a lot longer than you expect it to be. It will shorten when heated and you can cut it to size after your build, such that the end is concealed.