From A Wiki of Ice and Fire
Tiny bells that ring are worn in the hair of victorious Dothraki warriors. Each bell signifies a victory that the man has won. The more victories the more bells in a warrior’s braid. The bells are can be made of gold and silver and bronze. Dothraki women do not wear bells in their hair however Khaleesi Daenerys Targaryen is known to wear bells in her hair for the victories she has won. Even if a khalasar is not glimpsed the sound of the warrior’s bells tells their foes that the Dothraki are near.
A Game of Thrones
When Daenerys Targaryen first sees her future husband Khal Drogo she notes that his heavy black braid is hung with tiny bells that ring softly as he moves.  When Khal Drogo’s khalasar defeats Ogo's khalasar and he adds Ogo's and his son Fogo's own bells to his hair.  When she prepares Drogo for his funeral pyre Dany puts all of his bells in his hair. 
A Clash of Kings
Jhiqui follows Dothraki custom and fastens a bell in Daenerys’s hair to mark her victory over the Undying. Daenerys tries to tell her that she has won no victories but Jhiqui disagrees, telling Dany that she burned the maegi in their house of dust and sent their souls to hell. Daenerys decides to hold her tongue thinking that the Dothraki will esteem her all the more for a few bells in her hair.  When she goes to mount her silver she chimes, and again with every stride, but neither Ser Jorah or her bloodriders make mention of it.
A Storm of Swords
Upon entering Astapor to purchase her Unsullied Dany is garbed Dothraki fashion. Irri and Jhiqui have braided her hair and hung it with a tiny silver bell whose chime sings of the Undying of Qarth, burned in their Palace of Dust. 
After conquering Meereen silver bells tinkle in Daenerys's bloodrider's oiled braids and they wear the gold and jewels of dead men.
A Dance with Dragons
On the Shy Maid Haldon Halfmaeaster explains to Tyrion that on the way down from the Sorrows to Selhorys the crew thrice glimpsed Dothraki riders moving south along the river’s eastern shore. Once they were so close they could hear the bells tinkling in their braids. 
As Dany wanders the Dothraki Sea starving and alone she hears through the grass a soft silvery tinkling. At first she smiles, remembering Khal Drogo, then she thinks that her bloodriders have found her, but then the green sea opens and a unknown Dothraki rider appears, bells singing in his hair. Dany realises that he is a khalasar scout and she is in great danger. The scout does not see her. When he gallops away Dany manages to call Drogon down to her.
|“||"He slew two khals this day. Khal Ogo first, and then son, Fogo, who became khal when Ogo fell. His bloodriders cut the bells from their hair, and now Khal Drogo's every step rings louder than before." ||”|
|“||Dany braided his hair and slid the silver rings onto his mustache and hung his bells one by one. So many bells, gold and silver and bronze. Bells so his enemies would hear him coming and grow weak with fear. ||”|
|“||Once they were so close they could hear the bells tinkling in their braids. ||”|
References and Notes
- ↑ A Game of Thrones, Chapter 3, Daenerys, p37.
- ↑ 2.0 2.1 A Game of Thrones, Chapter 61, Daenerys, p 666.
- ↑ 3.0 3.1 A Game of Thrones, Chapter 72, Daenerys, p 802.
- ↑ A Clash of Kings, Chapter 63, Daenerys, p 871.
- ↑ A Storm of Swords, Chapter 27, Daenerys, p 311.
- ↑ A Dance with Dragons, Chapter 36, Daenerys.
- ↑ 7.0 7.1 A Dance with Dragons, Chapter 22, Tyrion.