Under Zaku's headband is another headband thing...
Let me draw it real quick. XD
(That took more like 10 mins... XD)
Okay, lightly over it I've drawn the headband to show it's placement.
I don't think the whole thing goes around his head;
I'm sure a leather or well-woven strap holds it in place like I've drawn it here.
I wouldn't call it a, "face protector" though that's the purpose it serves...
This is not part of the headband, but something he wears under it.
It's a lot like the 2nd's, though.
It's usually a good heavy material...
I've heard of them being made of wood but Zaku's doesn't look like it is.
Like Classic Black Sheep said, you can find these things at sport shops in the Wrestling section.
I'm sure a gray one of those would work quite well.
Make sure it fits under your headband, though.
sweatdrop Hope that helps!
whee Edit: Now that I look at the picture you've got it looks like a thick leather.
Best found on the back of a bovine. You'll want some nice, tough, dark leather.
If you don't like the color, you can always dye it.