Here is what I recommend a superior alternative to tail bags for long term tail protection. Sheeting is impractical for short term situations like at a horse show or for trailering but long term, this is the way to go. I've heard this can last 6-8 weeks! Use your own best judgement.
****Pics to come soon****
Supplies: typical bed sheet cut into 3 pieces each about 6inches wide and twice the length of your horse's tail and an extra set of hands is great

1) Make sure tail is clean. It does not have to be freshly washed, but that's a plus. I prefer to do this after a hot oil treatment. I do the treatment and then apply a nice tail conditioner then proceed.

2) Tie a knot at the top the the three sheets. A couple inches below the tail bone, tie the three sheets around the tail at the knot you've just made. Don't tie too tight... this is only to hold the sheet on while your braiding and has nothing to do with holding it all in the tail.

3) Separate the tail into 3 even pieces. Wrap a section of the sheet around each section of hair and knot at the bottom below the hair.

4) Braid each piece together.

5) Take the bottom of the braid and loop it around back up to the top.

6) Take one of the loose pieces of sheet and "sew" it through the "top braid, then come back down through the braid on the bottom. "Sew it all the way through to the bottom of the braid.

7) Repeat with the other two loose end pieces.

8) Knot at the bottom and cut off any dangling sheet.

9) Voila!! The tail has been sheeted!

Things to be aware of: When you do take this down, you will find a lot of loose hair that has fallen out. Don't be alarmed. This is not caused by the wrap rather it is just all the hair that would have naturally fallen out in the time the hair was up all gathered in one place. Also, the pieces of sheet are reusable. Simply soak them in soapy water (Dawn is great) and hang to dry. Washing machines tend to do a number on fraying them :( While the tail is up, if you are an MTG fanatic like myself, feel free to apply it to the top of the tail like you normally would. Do not start the sheeting too close to the tail bone. You can do serious damage by cutting off circulation or causing discomfort to your horse. Remember the tail bone is alive and needs good circulation. Lastly... you can add tassels if you choose to do this in summer to create a natural fly swatter. Bailing twine works great!