I can't braid hair for the life of me but I am told that it stays in better if the hair is a little dirty. Maybe try some hairspray on the hair first to make it sticky, that might help.
Claire's accessories do tiny little clear rubber bands called "no more snags" which are designed for keeping braids in. I think they come in colours as well. last time i bought them they were �2 for a pack of 36.