Vodun practitioners wear headwraps for various reasons. In everyday life, it is a matter of preference. Some do and some don’t. In ceremonial situations, a headwrap is part of the costume of some Orishas or part of formal African clothing.
Generally, male Orishas manifesting through human bodies or in human form wear a sort of bandana reminiscent of a “do-rag”, and female Orishas, a more formal “up-do” type of wrap. Eshu often likes a red wrap under a straw hat, and dancers for Ogun may wear a lavender or wisteria purple bandana tied in the back. Oshun dancers and adherents often like to wear somewhat stiff, elaborate wraps reminiscent of a giant flower, while Oya dancers may wear one with beads or a veil draped over the eyes or entire face. Some Oya folks even like to wear a turban like wrap if they are warrior types. Some with a special affinity for Oba or Yemaya like to wear a wrap that is similar to a khimar or shayla, but this is rare since such styles have become too deeply associated with the Muslim hijab. So instead, some who want to make sure nobody mistakes them for Muslim, wear it draped behind the neck instead of in front.
In everyday life, some practitioners of Vodun and related faiths like to wear a white headwrap, especially if they have matted or twisted locks similar to dreadlocks. For some, only people initiated into their group are permitted to see their hair.
Basically, customs vary. If you’d like to learn how to tie a headwrap in various ways, visit ModernTraditional’s section on headwraps.