A lot of people use socks to substitute tailbags. Here's a YA about it
You have to be careful about using them. If they snag on something they can rip the tail right out. I had a gelding with a gorgeous tail and one of his pasture mates decided he really liked the look of that tailbag one day. Ripped it right out- along with half of the tail I worked my a off for. Couldn't have felt very good, either, poor little guy.
With that said, I still use them cautiously. My TB came with a terrible wispy tail and it filled out beautifully, nice and full, in about a year with my careful care of it. Through the sunny months I kept him in a flysheet and braided his tail about 90% of the time, taking it out very often to brush it out and apply conditioners and MTG. Beyond the horse's comfort and well-being, staying on top of flies also plays a big part in tail health. Swishing it around all the time, arguably even more so if it's braided or bagged, only breaks more hairs.
Now I mostly bag through the rainy season- all of the wetness and the dirt and mud is just no good for the tail and for my keeping up with the care of it.
I only use the tailbags that just have a single tube with 2-4 ties on the top that you thread through the braid. I've tried a lot of styles haven't personally had luck with other styles, I find these to be the simplest. You just braid the tail all the way down, fold it in half, then toss it into the tube and tie it up- below the dock, of course.
Here are some tails I've slaved over (following the method I described):
This is the pony who later lost his tail
And here's my TB. Did I mention after I sold him his new owner stopped braiding and bagging his tail and now it's about 20 hairs at his hocks again, what a shame, lol