You Super easy, super quick tutorial. There are lots of ways of doing this, but I have found this to be the most reliable way.
You will need-
-adhesive (hot glue or E-6000)
-felt circle/square/rectangle (base this off the shape and size of the piece you're using).
This is seriously so easy. Ready? Let's do it.
First, take your hair thing (whatever you're using as the pretty part of your clip) and put the bottom face up.
Now, put your felt piece in between the two sides of your clip, like so.
Next, put glue on it. Not enough that it'll seep everywhere, but enough to seal well. Make sure you are applying glue so the clip will still be able to open.
Stick down your hair thing and hold in place. If you're using hot glue, you should be safe by the time you're done reading this sentence. If you're using E-6000, please continue to hold in place.
Make sure your edges are all glued down and give your hair thing a wiggle to make sure it's secure. I have been using this method to make my hair pieces for three years and have no trouble with it. The felt helps the clip stay in place, too! It's not as smooth as the metal clip, so it doesn't slide as easily.
E-6000 users, you can probably let go now ;)