Here's the post with the video:
http://www.chalkbucket.com/forums/threads/bobby-pins-vs-bun-pins.44266/#post-274224
(I wasn't the poster, but I bookmarked the video it was so good)
For ballet I do it like in this video (with little bun pins, I don't have the, um, industrial strength ones shown there, I've been fine with thinner ones).
For gym, I do it almost the same, but don't flatten it out as much, whack a scrunchie around it and the pins can't escape. We haven't been told not to use pins, so I'm just going with it.
The scrunchie stops buns from being too flat which is why there's no point flattening it too much. Her bun has survived lots of backwards rolls without a scrunchie too.
You can get an even flatter bun by not twisting it much before the hairnet, but this won't stay put for gymnastics. For ballet it's fine.
For super dooper buns, wet hair, gel, comb through. Bit of gel on the flyaways at the end. The bun won't go anywhere.
Use a nit comb so you don't get comb marks with the wet hair and gel.