I don't think she's being naughty, I think she's just being a toddler

Don't worry our DD won't leave hairbands, clips or headbands in either!! Or hats (for very long!) however she LOVES her sunglasses hehe..... she loves all things pretty but yeah if it's in her hair, she wants it out soon after!! I was lucky once and got a photo with her wearing a piggytail on the top of her head ( oh adorable!!! ) but that didn't last long after the photo was taken! LOL......
I have so many pretty hairclips for her too that I'm hoping she'll wear one day......

I've tried the "oh look how pretty you look, go show Daddy" thing and made a big deal of it but that doesn't work