Just a thought: couldn't you purchase a cheap E46 headrest of any color/material and swap over your existing alcantara cloth cover onto the foam/base of the new one? I figure that would solve your loose headrest problem, as the looseness must be due to the plastic insert that houses the metal bars inside the foam base wearing out over time.
2006 330Ci ZHP - 6MT : Silver Gray / Natural Brown
Engine: Turner Motorsport power pulleys, Simota CF intake w/ modified Mishimoto silicone intake boots
Exhaust: Magnaflow 16533 catback
Wheels: OEM Style 135 - E60 concave fitment (18x8 ET20) / Michelin Pilot Sport A/S 3+ (225/40/18)
Exterior: OEM Euro M-Tech II front bumper, CF Performance splitters, OEM gloss black kidney grilles, OEM M3 mirrors, Seibon CF CSL trunk
2003.5 M3 (SlickTop) - 6MT : Laguna Seca Blue / Laguna Seca Blue