I've found a decorative version of wig clips in Walgreen's (?), maybe WalMart. They clip into the hair like a wig clip, but are larger and hold really well. Or maybe, if you can't find those, try the no-slip clips for fine hair...these usually have a bit of rubber on them to help keep them in the hair. They won't be blingy enough, but a bit of acrylic glitter paint can fix that.

If you can/want use a turban for your dance, those hold veils really well.. you can secure your veil in so many different ways like that.. our troupe has used them placing both ends of one side (width) in and under the top of your turban then let the rest fall down and secure the other ends at the sides in your waist of whatever you are wearing pants or skirt... works out pretty well for spins and lots of movement on stage

I just sew two clear plastic combs on to the inside of the veil. This method works best if your hair is in a bun (or braid like you mentioned). If you place them right, they lay flat and it looks like the veil is just magically stuck to your head. I like those Goody brand cheapie ones.

Oooh, I just though of something else. If you have shiny hair, like a cousin of mine, you can cornrow plait an inch or two of the front in one or more places, which is usually hidden by head bands or flowers or whatever and then stick one of those tiny elastic bands in the end wiht the rest hanging loose. You can use it to either plait things into the cornrow (like ribbons to tie things onto your head or hang loose) or secure things through it. Apparently it distributes the weight of hair doodahs through your hair/across your scalp reasonably evenly and doesn't slide out too much, although I haven't tried it. I have however cornrow plaited my husbands fine slippery hair just generally and it stays quite nicely.