You can then wrap it in vet wrap after you have the tail bag on for extra security, just make sure you don't wrap the tail bone, just the hair beneath. :)
We always just ace bandage all the way down (or use a brace bandage) and stop at the end of the tailbone, braid the tail and fold it around up on the tailbone and wrap the rest of the ace bandage around. we don't leave it on longand don't put it on really tight- just enough to keep it on, we put it on as soon as she starts labor and take it off when she passes the afterbirth. This is what it looks like: