I just use pantyhose (cut off the legs) and it works great for me.

Susans has a wiki about tucking and includes instructions on how to make your own! It isn't uncomfortable either (for me at least). I don't have to roll it up tight, though.

http://wiki.susans.org/index.php/Tucking_and_taping#Make_Your_Own_Gaff
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Dana Lane Taylor