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I second Hair Sisters - I've had great experiences with them and the prices are really reasonable.
I usually use drawstring ponytails, which feel more secure to me than clip ponytails. I have superfine hair too, and have never had any problems with them. I also wear 3/4 wigs without a headband. (They bug me, too.)
(I find that a few well-placed bobby pins really can work wonders.)
Have fun!
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