Running braids work best with a mane that is both long and even in thickness, otherwise they do seem to fall out when the horse moves. Practicing braiding helps a lot, just to learn to keep the right tension while braiding which helps keep the mane from falling out. If you have rubber bands, you could use them to keep the braid together by periodically/ where the mane is uneven putting a band in before continuing.
I haven't tried this yet, but I've been told that this and braiding string in works pretty well. I can't wait until summer, when I can start experimenting with ways to make a nice, lasting running braid!