Do not underestimate the possibilities of plain copy paper. Cut it as desired, fix it to the figures hat with regular glue. Stiffen it by useing either fabric stiffener or water resistant white glue. Mold into the desired shape form a bed of plastiline aiding to hold the shape. Give it enough time to completly dry. Once dry paint it and you are done.
As for the hats use epoxy modelling clay, such as miliput, A+B puty etc. or try Fimo, sculpt a master bake it and make a mold of it, either out of fimo or thin kneadatite. Cut the mold in two parts, fill it with fresh Fimo, press the soft Fimo into the mold useing the end of a pencil or similar. Open the mold, retouch the hat/cap, test fit it on the individual figure, carefully remove it and bake it. Once done glue the hat/cap on the figures head with super glue and do the paper trick to attach the cap tapes. Might take a bit of practise but believe me it does work fine.
rgds
Wolfgang:salute::