In reply to Uluru:
I used to use this stuff under the tape, as I struggled to get it to stick regularly
http://www.firstaid4sport.co.uk/Mueller-M-Wrap-Coloured-Underwrap-PMU130700...
It's kind of tacky and sticks to itself, but a bit of tape will hold it together. Wrap it around your foot like a bandage. You only need one wrap.
On this stuff, any cheap tape will stick and you don't have to worry about ripping hair out afterwords.