My dd has similar hair and we have a bun requirement too. I used to do as others described with the braided pony and then wrap into a bun and it definitely stayed but my dd complained that it was too hard and not very comfortable, especially for back extension rolls. There just wasn't a position that worked and the bun was so hard that it felt like a rock on the back of her head.
So we tried something new this time at the recommendation of a friend with a daughter in ballet and it worked awesome and didn't move. She had to wear it all day too before her meet because of other things we had going on and it still didn't budge even a bit, but was still softer than the braided one and she now has a back roll in her optional floor routine and she said it worked fine and didnt hurt or get in the way.
My experience is that fine hair is all about the product. product and more product
I had her wet her hair in the shower and then put about three handfulls of strong hold volumizing curling mouse in it. Then I blew it dry. This added a lot of volume and thickness to her fine hair and helped it hold its shape. Then I put it in a high tight pony right at the crown using two bands (double bands is s must and the thing I think helps the most as far as staying in goes). It also provides a good stable base to wrap the bun around. I then gelled the front into a good hard helmet to keep the flyaways down. After it dries I take a very fine tooth comb and very gently comb it toward the pony so that it doesn't have the greasy wet look. My dd also requires a couple of barrettes in the back to keep the shorties at bay.
Now I added gel to the pony and let it dry and brushed it out so it isn't wet but is dry but almost sticky at this point.
Ok, so then I split her pony into two pieces, and then took one piece and started folding it around with the start of it getting that pretty bun look. I didn't start with the tight wrap right away, more of a fold over and then start to wrap. I pinned it after the fold over and then wrapped it around the side and pinned it on the side. I did not wrap the whole thing just around the side and then let it hang while I repeated the process going the other direction with the second piece, making sure than on the fold over I was getting good balance bun looking center.
Then I wrapped each piece around pinning several times as I went until it was all pinned in. The things I learned about pins. Don't pin on the bottom of the bun. DD says that made it much more comfortable for rolling backwards. If when I put the pin in, she winced or ouched at all then I took it out and tried again for a smooth line that still had a good hold. Finding the right pin placement was key to her comfort and having her not poke and bother with it all day.
After the bun is complete, I wet it down with very strong aerosol hairspray and let it dry. I use A LOT. I did this twice. Then I added her scrunchy which covered the pins very nicely and she was set. It was totally hard on the outside, but still had a little give on the inside which made it more comfortable for her.
So basically it ends up a bun with a criss cross of pins through it. that was amazingly bomb proof. It looked pretty much the same after the meet as it did when I did it that morning.
We practiced this the night before without all the product and I had her do the roll several times with the hair in. It took two practice tries to get it right and I knew that when I added all the product we would be ok because it stayed in and was pretty comfy without it.
Hope that helped a bit and wasn't totally confusing
