I found this video by Tommy Garland (like he really braids his own horses' tails, lol) and I completely love the way he braids. The bag he's using is really only good for horses that won't be out in any real inclement weather, so I still don't recommend that. But, his braid is exactly what I do, though I don't keep the rubber band in when I finish with the tail. I wrap my horse's tail and don't bag it at all. That's a personal preference thing. You'll hear horror stories from all sides about which way to braid, bag, wrap, etc is best. You just have to find what works for you and your horse.
Anyway, here's the link for the braid:
Oh, I wanted to add that I with fine tails I braid even tighter than what he starts doing. As long as you keep the top part that you braided loose, you can make the rest just about as tight as you want.