I had the same problem. Ari (2 1/2) still has very fine hair. The tiny rubber bands mentioned really do work -yes you will have to cut them off - It's the only thing that works for her.
Well at least they aren't expensive.
I spent good money on other pony tail holders and barrettes for both my girls. Until my other daughter's hair started to thicken (sometime between 3 and 4 years old) they seemed to be they only things that worked.