For a better overall look, be sure to pull your wire very tight when wrapping.
Lashing on the spikes: After wrapping a segment of crystals, wrap the wire around the headbands 2 times. Then wrap the wire around the base of a spike (the indendation under the spike once it is screwed on). You'll then lash your wire to the headband 2 times and then you can start wrapping your crystals again.
To keep the spikes from detaching, put a little glue on the post of each spike before screwing on the spikes.