Classic red bands on all the Turtles: Anytime during gameplay (even in the dojo practice mode) hold down the R2 trigger and press Triangle, X, Circle, Circle, X, Triangle, X, Circle, Circle, X. Now on the select your turtle screen you will see that you can toggle the red headbands on and off by pressing triangle

Cheat Codes (XBOX 360)

Mirage comic book bandanas: During game play, hold RT and press YABBA YABBA. If done correctly, you should see the auto save icon pop up in the bottom left. When selecting one of the Turtles, press Y to toggle headbands.

Cheat Codes (PC)