Picture taken by Jjoseph Gray
Consider different lengths and their effects. If, say, you're trying to re-create a wraparound look, use a much longer scarf than a simple handkerchief. After all, the scarf has to be long enough to actually wrap around your head.
Picture taken by quest for the hearthstone
Pore through some pictures or images; the ones here might be a good starting point. The important point is to make sure the style suits you. Don't just pick it because it looks good on the model.
Picture taken by Igor Grigbanov
Once you've found your scarf, make sure you follow directions. If you don't get the wrap right the first time, don't freak out--there's no rush. Take your time, go over the directions again, and try it until you get it. If you can find online videos or tutorials (see References below) on hair wrapping, that will help a lot. If not, have a friend work with you.