Quoting Stephen Abbott
There are several ways you can do it. There are quite a few Lego helmets that can be used directly or with a little bit of customization. In the old '98 castle theme, there was a dark gray English helm with a broad rim. Clipping off the rim and the chin guard presents a reasonably realistic roman helmet. For a very large army where mass production of customized helmets would take too much time, the current castle theme has a new type of helmet that's found on the Scorpion dudes or the evil skeletons (colors come in black and metallic). Buying a bulk of these helmets on eBay is easy.

There are even some Lego element and minifigure customization people out there who actually make their own original plastic-molded Roman helmets and sell them. You might want to check them out . . . for more info about Lego customization and stuff, you might want to visit http://www.minifigcustomizationnetwork.com

-- Stephen

Quoting Stephen Abbott
...a dark gray English helm with a broad rim. Clipping off the rim and the chin guard presents a reasonably realistic roman helmet.
-- Stephen

Quoting James Pegrum
It's an interesting question. I personaly could never alter a lego brick and have used the dragon helmet from a few years ago. Not sure there is really a helemet that matchs 100%.

On the subject of military clothing what do you guys use for the following:
1) Leg's/ lower half of the tunic
2) Torso/ upper half of the tunic and armour
3) Shield