Bill, the headband in that scene has nothing to do with how much hair one has. A warrior ties on a headband to denote his determination to conquer or to die. It's a ceremonial act. This is clearly what the character in the film is doing. Japanese servicemen in WWII frequently tied ceremonial headbands on for that very reason before a major battle, and they had about as short a haircut as you can get, in most cases.

Sure...there can also be some practical reasons for tying on a headband before a fight. If you have longer hair, it helps keep it out of your eyes. It also helps absorb sweat which might get in your eyes.

In the case of the movie scene, though, it is clearly a symbolic act, similar to that of the Japanese WWII pilot who ties a rising sun headband around his head before going out on what he expects may well be his last mission. He is signalling his complete willingness to die, and not flinch from death.

Whether Comanches would do such a thing before a fight, I don't know... ;-) Maybe. Maybe not.