Depending on how big you want them I'd suggest either cardboard (the thin food box type) or foam. If you were doing a big mascot-style head I'd recommend upholstery foam, but since you said you're doing hats that may be too thick, cardboard covered in craft foam or fabric may be preferable.
I think using pre-existing cylinders may be overkill since they could cost more than the possibly free mats you may find in your pantry.
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