First, cut two pieces of fleece into an ovalular shape. [rectangular shape for a rectangular bow]
Place those two pieces on top of each other, and sew around the edges. Make sure you do not sew completely around, and leave a slit [big enough for two fingers to fit loosely] on the bottom. After sewing is done, flip it inside out with the slit on the bottom.
Next, get a new piece of fleece. This piece is a rectangle, and smaller. The width should be twice with width of the middle band you want, and the length should be able to wrap around the other fleece. Fold it in half (hot dog style) and sew the edge. Then flip it inside out.
Fold it in half again [make sure the stitching is on the outside] and stick the edge, then flip it again.
Put the big fleece piece through the small one, and adjust it.
Add a hair tie, a bobby pin, a clip, etc. to the back. OR put a safety pin to the back and pin it on something.