Well, I braid for dressage riders with rubber bands, and here's how I do it:
1. Brush out the mane so that it all lays flat on one side of the neck.
2. Start at the top, next to the horse's ear. Get a section of hair about 1"-2" wide and rub in some hair gel.
3. Braid the section as tightly as you can. I usually braid it until the braid is about 3"-4" long, depending on the thickness of the mane, then rubber band it and trim the end so I don't have stray hairs sticking out.
4. Fold the end of the braid under the mane so that the end is pressed against the underside of the start of the braid. Fold it under again, in the same direction, and put a rubber band around the whole thing.
5. Work your way down the mane in 2" increments or so. You may have to vary how much of the mane goes in each braid - manes are often thicker & thinner at different points on the neck.
If you get the right amount of hair in the braid, it forms little balls of hair. Takes some practice to get them just right, though, so try it out at home before you're at a show.