Update: Sewing Scotch-Brite sponge cloth (http://www.amazon.com/Scotch-Brite-Sponge-Cloth-9055-2-Count/dp/B0043OYFVO) together worked very well along with a runner's cap for F3 and Fp2; the wires wrapped around very well to the back of the unit from under the cap. However, you have to turn the headset upside down for it to be comfortable. For M1, the other site I'm interested in, I will probably have to cut a hole in the runner's cap to string the wire through.

EDIT: This looks like a good running cap choice actually, as it has a hole in the back already so string wires through: http://www.amazon.com/Pearl-Izumi-Thermal-Skull-Black/dp/B0089DP0CS/ref=sr_1_4?s=sporting-goods&ie=UTF8&qid=1376431311&sr=1-4&keywords=Pearl+Izumi+thermal