OK, the good news is it's growing back and you are taking great care of it.

The bad news is you've got a few YEARS ahead of you.  Nothing can take the place of time when it comes to tail growth.

I think your tail bag is falling off because the hair is too slick.  You might find more luck in trying the Arabian approach while it's short.  Arab show people take the long center sections of tail and braid it then wrap it into a tight fist sized lump by folding the braid around your hand and "rolling" it up.  They don't use rubber bands if my memory serves me.  Instead they take this "ball" and wrap it really tightly in vet-wrap.  Wrap around the ball and through the top of the braid on both divisions of the hair.  In the end it should look like a fist wrapped in colored tape and be very hard.

This method only works when you have small amounts of thick hair or large amounts of thin hair.

I don't use MTG personally, I find it greasey and thus a dirt magnet.  I shampoo, condition, and showsheen every week.  Once finished I let the hair dry then put it in a tail bag.  For tricky horses the spandex like braid-able tail bags work great!  You can put them in REALLY TIGHT and they hardly ever fall out(for me.)  I find these work for tails from just below the hock to dragging the ground.

Good luck on your newest project, let us know how things grow!

Don't use vet wrap- use a wrap called guard tex...its  a wrap which doesn't leave sticky residue on the tail.

Farmbabe, you must be thinking of Co-flex or Elasticon, the pink tape with a red stripe down the center.  Vet-wrap only sticks to vet-wrap and it comes in about 20+ colors.  (Looks kinda wavy while on the roll.)

Typical wound dressing has vet-wrap center and elasticon edges to keep the bandage from "sliding" around.  Elasticon also can be used to wax your legs in a pinch, the stuff is like super-glue on hair.  While working for my vet I once got a piece flung into my hair, it wasn't pretty...I'm still emotionally scared.

Vet-wrap is the way to go!

See, I like the Vet Wrap because it DOES stretch.  That way I can get a nice fit around the knots and it stays put.

I had to edit this becsue some of the letters that I typed didn't actually appear!  Does that ever happen to anyone else???

No she didn't change color.    She had scabs scattered over her chest and neck and face so I took her to the vet and he said it was a fungus and told me to wash her everyday with a ioidine shampoo.  It didn't help so he recommended the shepleys because it has sulfur in it.  I don't know if it was the MTG or the move to the desert that helped, but it's gone now.   Before the scabs showed up on her face she had scratches and I wonder if she could have spread it by rubbing her feet. 

She has lots of color and placed in the top 10 in halter as a weenling, her dam who is almost solid placed top 5 in the world.  I don't know anything about the rules but I don't like showing.  It was fun as a kid but now its too complicated.

I added a picture of her to my profile

Ok, I acaully have directions for this but, because my scanner is not working right now, I can't send them to you.  I did a search for figure eight knots and found this animated site.  Just click on it.

Figure Eight Knot

try going there.  The animation is sideways instead of vertical but you can see how it works.  The left side of the video corresponds to the top of the tail.  Turn your head sideways to the left, maybe???  BTW, put the knots in right at the tail bone, not lower than an inch or so from it.  Regular knots do not work because they are very hard to get out.  Figure eights don't tighten up like regular ones, that's why the vet wrap is good to hold them together and to keep them from getting ratty.  When the tail with figure eights in finally grows longer than the hocks, add an extra knot below the top one and vet wrap them both together.  This really works well.  Don't forget to keep the shorter, outside hairs free of the knots so they protect them even more.