I don't take long rides like you guys, but I sweat like a fat bastard on my daily rides.
I have a headband, and that doesn't work too well. A bandana, as others have said, doesn't hold much.
What does work? Well, it looks goofy. I take a small microfiber towel, the kind you can get at REI, and roll it like a bandana. It's barely large enough to tie behind my head. When rolled up, it's kinda thick, so it has to ride low on your forehead to allow you to get your helmet on. And mine is a goofy green, so it looks odd.
But the darn thing doesn't drip, holds my sweat like a champ. Did I mention my body's like a lawn sprinkler? I'd moved away from the microfiber towel, hoping the headband would do the trick. But I'm about to move back.