We always use yarn, and if you do, try to find a color that matches your horse's hair. I can't tell from the pic you posted, but you also want to be sure the braids are on the right side, not the left.
Stormy's right, it just looks bad if you only braid the mane. It's just easier if you do the normal french braid for the forelock...and bands are just fine to use too. I used them all the time and they looked just as good as braids with yarn.