How to simply add a column level to a pandas dataframe

As suggested by @StevenG himself, a better answer:

df.columns = pd.MultiIndex.from_product([df.columns, ['C']])

print(df)
#    A  B
#    C  C
# a  0  0
# b  1  1
# c  2  2
# d  3  3
# e  4  4