Not Muslim, Just Cold
I must confess, I hate wearing winter hats. I have long, wavy-ish, fine, thin, flyaway hair (I'd cut it off but I've spent years growing it, and about four years ago I got tired of people mistaking me for a lesbian graduate student), and winter hats don't make it happy...especially when I'm going to work or something where I can't walk around wearing the damned thing, like at work.
Fortunately, I have the perfect solution. It doesn't squish my hair, or if it does, it doesn't squish it in that annoying "hat head" way, and it also doesn't seem to aggravate the flyaway tendencies, either.
I own several of what are vernacularly called "pashmina scarves" (only two of mine are actually pashmina/silk, one of which is actually from Nepal and I've had it since long before the things were cool), or "fringed shaylas" in other parts of the world. Instead of wearing them Ghurka-fashion, folded in thirds and wound around my neck, instead of a hat, I wear them shayla-fashion, around my head.
Since I don't actually own any hijab pins (note to self: hijab pins), I kind of have to make do with an artistic arrangement of folding and tucking. The collar of my winter coat helps a lot, especially since I can tuck the loose ends of the scarf in the collar of my coat. (This of course doesn't dispel the illusion any.)
And it's quite an interesting illusion. I've gotten quite a few looks, but nothing I can really categorise as hostile or anything, more curious. I actually must be kind of a spectacle, since "everyone knows" what "Muslims look like," and although we have a few Serbian or Croatian Muslims in town, there aren't that many (I'd wager the two largest Muslim groups are Iranians [who call themselves Persians] and Somalis), and I don't look like them, either, with my so-pale-it's-blue skin and my dusty-blue eyes. (I suffer at times from a terrible colour saturation level problem, and also sunburn.)
I actually learnt how to wind cloth around my head in interesting ways while I was active in the SCA and going to Pennsic regularly. When I had my hair dyed black (boosts my colour saturation), I found it was cooler to go around with my head wrapped in light-coloured cloth. Not only that, but a veil worn with a broad-brimmed straw hat would keep my face and neck from turning the colour of a freshly-boiled lobster, while avoiding massive slatherings with skin-stinging sunscreen. At winter SCA events, some of them held in sprawling halls so draughty you might well have been outside, I found that having my head veiled was actually quite warm, bonus points if I could, say, tuck the hem of my veil in the neck of my houppelande.
Earlier this summer, as well, I was doing research for a manuscript I wrote tentatively titled How to Dress Like a Muslim, and the idea of fringed shawls and veils (in the medieval, not niqab, sense) and stuff sort of fused in my head, and I wound up inventing my own way of draping a fringed shayla that has the look and feel of a hijab-style shayla but requires no pinning.
It's actually very similar to the technique shown here (scroll down to the bottom of the page, showing the mannequin in the brown shayla). Instead of just draping the shayla over my head at the front and then creasing it at the sides, though, I tuck it behind my ears, then bring the folds up from behind and over my ears. I also start with the shayla placed very asymmetrically on my head -- on the left side, it just barely touches my shoulder, and on the right side, it hangs down quite far. Then I bring the short side under my chin and tuck it in on the right side, in my collar. I wrap it just like pictures 3 and 4 in that series, and wind up with a look very similar to picture 5, except without the pin (I tuck the loose end up and around in my coat collar under my chin). Remarkably enough, it usually stays quite adequately, although if I were going out for what I knew would be a long walk in the cold, I'd probably pin it rather like in picture 5.
It's relatively easy to do (easier using a mirror, though), especially once you practice a bit, very warm (especially if I use one of the actual pashmina/silk shaylas), and comfortable.
In truth, I didn't start doing it because I was trying to make a statement; I did it because I could, and because I happened to be wearing a fringed scarf and no hat and my ears were falling off in an unexpectedly stiff breeze-cum-windchill. However, I must say walking around in a long black winter trenchcoat while wearing what looks to be a black hijab is an interesting sociological experiment. I feel rather like a female version of John Howard Griffin. I suspect I'm unlikely to be hanged in effigy here in Whitebreadville, though.