Are you trying to grow their tails out or just keep them clean?
Either way, I found that tail bags don't last to long with nosy herd partners on turnout;) However, one thing that worked for me was to braid the tail (after I used MTG on the dock and rubbed baby oil throughout the tail hairs) and then fold it up like you were going to vet wrap it. Then I slipped a sock over it (I used an old soccer sock) and ran braiding yarn through both the sock and the braid several times to keep the sock in place. Then, I ran a few times around the little "bundle" with electrical tape, and that thing didn't move an inch! Just make sure you braid loose near the dock, and don't bag it if it's wet! I would keep them on for about a week, and then take them out before a workout, apply more MTG (stuff works WONDERS...) and baby oil (kept it soft and stopped it from breaking), ride, and then when we were done her tail was dry so I'd bag it up again and hit the road!:) Using the socks were nice because it was very cheap and easy, and kept the tail as clean and tangle free as when I had put it up, although I did get a few weird looks from nosy barn mates;)
Good luck with the burs though, those things are sooooo annoying, especially on polo wraps!!;)
EDIT: I don't pull the sock over the dock, I stop a good three or four inches away from it, as does my braid!!