No interfacing in the headbands. Might be a good idea if your fabric is particularly flimsy. I just did 2 layers of fabric and top stitched them after I turned them right side out, so that they wouldn't shift.
As for the panties I'm planning, I've never made them before. There are a couple of tutorials I found online on how to make underwear patterned after a favorite store bought pair. So, I'll start by doing that, but for the crotch I think I'm going to line it with a layer of PUL for waterproofing, and then a layer (maybe two) of flannel, and then I'll put in a couple of strips of elastic to keep some changeable soaker liners in place. Like these: http://lunapads.com/underwear/hipster-lunapanties.html (click on the 6th picture). I think they'll be more comfortable than the cloth pads I have, since I won't have the bulk of the wings that have to snap around.