I used to wrap it up.
I saw a YouTube video where the person used a cloth around her hair line to absorb sweat...
I'm natural with hair that almost reaches my collarbone when straight. I usually wear my hair in two strand twists with a bandana. It lets my scalp breathe and I don't take out the twists unless my hair is dry.
As an active person (working out four times a week) twists like http://newaylook.com/best-protective-hairstyles/ really work for me. My hair doesn't need to be spritzed every day with moisture to come out looking fine, so I usually don't put any product in my hair after I wash it (which is 1-2 times a week). Because of this, I get that DREADED elastic band indentation when I put my hair into a ponytail for my work outs if I'm rocking a wash and go. However, I find that when I keep my hair twisted, the elastic doesn't create a noticeable indent. Since I usually work out in the mornings I'll twist my hair back up at night (after a twist out), work out in the morning, and then just take out the re-twisted hair when I'm about done getting ready for work. My scalp is actually naturally dry so I don't really mind any head sweating (gross?), but I do wash my hair about every 5 days so I'm not dirty for long!