Go to the fabric store and buy a couple yards of silk and just cut it to fit your needs. That's what I did. I think it was like 15$ and I have made like 7 head bands and 3 scarves (one rectangular, one square, and one triangle). I still have fabric left over.
I don't know where to find silk bonnets, though I'm sure you could make one pretty easily (and then that way you could choose the color. They sell elastic and stuff at fabric stores as well. I use a satin bonnet and it works well for me.