I've been making my own hats in 1/35 scale by using a helmet as a form and receipt paper for the hat. The receipt paper is thin and forms easily. I soak the receipt paper with a little water and white glue. Once dry I can trim it and do any forming it might need. A little more white glue to keep everything in place. After it dries just paint it a color of your choice.
Nye, Inyo & Esmeralda Railroad