What exactly do you mean when you say 'wrap around your head' (out of curiosity)? And the reason why most of the ones you'll find are expensive is because the synthetic hair you can make them out of is not cheap and you need a LOT of it because it shrinks down quite a bit. You'd probably be best off making your own, because I doubt it will be easy enough to find someone who will be generous enough to make them without themselves making profit for the time they took.
I would offer to do it myself, but I've never sold them online, therefor don't have an official website you could order them on, so it wouldn't be wise paying a complete stranger without any knowledge of credibility to do it for you.
What I can do though is give you links! Hurray links! Um cancel that. I don't have my old sites on this computer and nothing comes up in google anymore.
Okay, you can buy some hair (preferably silky straight and definitely synthetic, OMIT HUMAN HAIR!)
here or try and find another web site (this one just has a lot) and order hair of your choice.
To make false dreads:
Take a hunk, fold it in half over a piece of elastic or lace (whatever you want to use to attach the dread to your head), backcomb it to make it as tightly tangled and gnarled as possible, then after you have a pretty much even horrible fuzzy blob, twist from the top, backcomb more, keep twisting then either steam or boil the dread so that the synthentic hair melts into place.
To add more then one color, either twist one color around the other while backcombing or gnarl your next color onto the first one where you want the new color to begin.
Hope I was helpful at least a little. Sorry if I wasn't.