You could always wear an extra pair of "underwear" under your skirt and attach the tail to that. In cheerleading we wore "lollipops" or "spankypants" over our underwear since our skirts were always flying around, and they were basically just large full-coverage bathingsuit bottoms. That way you a) won't have to worry about your underwear showing and b) your tail wouldn't be itchy and obnoxious.
"There's a one on the bottom of my cup. I think it means my days are numbered."