Yep. Sounds like your Alex is having a strange and unnatural relationship with your head. Mine does it with my hands. You don't want to encourage the behaviour, if only because it can lead to excessive preening which in turn can lead to plucking from frustration.
Don't allow your bird to stay long on your head and when you remove him, always give a treat and distract him with something extremely interesting. This is why I have a male/female pair: when they reach sexual maturity, all that part of their personalities can be worked out with each other and, hopefully, not me! LOL!
PS. If your birds are regularly getting tangled in your hair, wear a beanie when you handle them. Both my daughter and I have extremely long, thick hair and the Beaks would get a single strand wrapped around a toe. This is very dangerous because you might not spot the hair and the toe could be gangrenous before you do! I wear my hair up and fairly well tacked-down, but my daughter chooses to wear a beanie around the birds to keep their little feetses safe. Once, Madge got a hair wound round three toes and it took forever to get it off her foot! Being an Alexandrine, she's not too fussed about being handled and squawked a blue streak while we tried to surreptitiously take the hair away with scissors and a pair of long-nosed tweezers. :22_yikes: