I normally wrap my hair up in a scarf that I bought at a BSS that supposedly satin. But I just read a great tip on Hair By Kelli:
Use a silk scarf to wrap your hair. Try purchasing a ½ yard of fabric from a fabric store to ensure it is 100% silk. Satin is okay, however they have cotton threads which can cause dryness.
I hope Wal-Mart has some in their sewing department since that's the only fabric place in town.
Great hair tip!!