Well I made this myself. Its a soft cap with a short peak. I sewed 2 straps of velcro across the top (hook and loop because I was too cheap to get velcro(tm)). I sewed elastic to loop of the velcro to hold the torch.
The torch is a Fenix L2D. Its not too heavy at all. You can make some pretty big head movements and the torch stays quite well in place. Infact, I've put a TK20 on my head and it feels quite ok. Any 2AA or smaller torch would work.
Anyhow, I'm not very good with a sewing machine so it would look better if it was professionally made. So if there are companies out there that want an idea for some merchandising for their products, e.g. a fenix branded cap that doubles as a head light, I'd buy one.
So how embarrassed was I when I went for walk with one of these? Not at all but it was dark.