Come to think of it, we’ve already got a UFO-based religion: The Raelians! http://en.wikipedia.org/wiki/Raelians; http://www.rael.org/.
This site was the one that Colmes’ guest was pimping. Looks like he doesn’t actually sell the hats, just gives out instructions for making them.
While doing a search for the Uranus Academy Of Science, I found a whole page of UFO cults http://religiousmovements.lib.virginia.edu/nrms/ufos.html