I only just learned to put my daughter's hair in a bun this year, and I learned from this site. And now I actually have friends telling me how nice it looks and asking me to teach them!
First, damp hair with lots of gell. One meet I used mousse and it fell out. If you find a gell with the word "glue" in the name, I think your set.
Tight pony tail. Check after you make the pony tail to make sure you didn't miss any bits... maybe less of an issue if you're doing your own hair since you'll be looking at it from the front, but I've done my daughter's hair and then turned her around to discover that I missed a clump. After managing to fight off the urge to just cut off those extra strands, I undid the whole bun and re-did it. Bleh.
Divide it into 2 sections... or if your hair is thicker, you could do more. Divide each section into two parts. Twist those two parts together. If you go back through old hair posts, I think you'll find a youtube video on how to do this. Basically, you need to twist each part in one direction while you twist the two parts together in the other direction. I don't think I'm explaining this very well, but what I'm saying in my head while I'm doing it is "Twist to the right (twisting the hair like you might if you were twirling your hair with your finger because you are nervous or something), cross to the left (and then I cross that part over the other part, going in the opposite direction). Repeat until you have a long twist. End with a little rubber band. Then repeat with the other section(s). You'll have two (or more, if you started with more sections) long twists.
I found bobby pins that are shorter than normal and I use these because I feel like there's less chance of them pressing into her head while she's tumbling.
I wrap the two sections around into a bun, securing with the bobby pins as I go. Then I put a blonde hair net over the bun (they make them for different hair colors and they make them especially for buns... I got them at Sally Beauty Supply) and secure with more bobby pins. It looks nicer without the hair net... you can't really tell there's a hair net on it, but the hair net sort of squooshes the bun and you can't see the pretty twists as well. But I feel like it's more secure with the hair net in there. I have to double the hair net over because her hair is really fine and makes a pretty small bun. Then lots of hair spray.
Anyway, I'm very proud of my new chalk-bucket-taught bun skills that I've developed this year. When DD started in gymnastics, I always made the coach or another mom do her hair, but now I do it myself and it doesn't take all that long and it looks pretty good. Yea me!
Oh, and good luck to you too! You'll find a way that works on your hair. Oh, something else I've done, when I was first learning to do her meet hair myself, is that I went to the woman who cuts our hair and asked her to teach me how to do it. She didn't do a bun... she taught me how to "pineapple" DD's hair. But if you have someone who does your hair on a regular basis, you could schedule a trim, tell her the problems you've been having with the bun, and ask her to help you learn how to do it. Our hairstylist didn't even charge me any extra for the lesson (though I did give her an extra large tip).