I have always braided and wrapped my mare's tail. I've never used a bag, but was thinking about using one. It just seems so much easier and less time consuming. To those that have used both, what are the pros and cons? She's on 24/7 pasture and I'm in the deep south, there are normally bugs year round so that's lots of tail swishing. That is one concern, how well is a bag going to withstand being slung around? When I wrap, that thing isn't coming off. Even I have a time getting it off when I change them. Is a bag really just more useful as a protectant while you are waiting to show?
That's what I'm currently doing, wrapping and the twine switches. It's actually not the wrapping that bothers me, it's the unwrapping. I really don't have any experience with bags though, wrapping is all I have ever done. I guess I'll just stick with it. Don't want to worry with losing bags, at least with wrapping I know that when I put it up it's there to stay.
If you decide to try a bag, Schneider's has one that's waterproof for mares, Duratech Waterproof Tail Bag, and it's only abut $6 or $7 bucks. But I had 20 horses on pasture last year and had them all bagged. Within a couple weeks, they had torn every one of them up and/or lost them. So X 20, that adds up and I gave up and went back to wrapping.