I use the same trick that Entangled mentions, but also find this type of hair tie sufficiently gentle on my hair. (Not that particular brand necessarily--just the first thing that came up while looking for an image--but the general type.) They are similar to the "baby bobbles," but quite not so thick or stiff. I know I've heard of people making their own hair ties of this type out of old panty hose. . . but I can't bring myself to wear panty hose, so I've never tried that!

Here you can get a generic-brand pack of eight for a dollar or so at the drugstore. They last me pretty much forever.