I like to use the ones that are a soft fabric, 3 separate tubes stitched together at the top.
I braid the tail into 3 sections and slip each section into a tube. Then I braid the fabric/tail sections and tie a few knots in the end. If it seems too long (you don't want your horse stepping on it while backing or getting up from a nap), you can trim the excess fabric.
It works great for our Belgian because he has typical coarse tail hair, in the winter I keep him braided up and take it down about once a month to brush, condition and re-braid. But the Mustang has soft tail hair that feels more like human hair and nothing will stay in.