No question that the 'harpoon' is a harmonica - nothing else makes any sense - and two or three posters have stated that they were familiar with the term as meaning harmonica before the song appeared, which is what the OP was inquiring about. Otherwise, what is the speaker "blowing soft"? (Please, no theories!)

The bandana is not being worn; it is a kerchief that is being used to wrap around the harmonica, to keep it free of lint, dust, seeds & stems, grains of heroin, tabs of acid, and whatever else happens to be in the speaker's pocket.