Sew the bandages together and sewing them to a bra is a good idea, also consider maybe using a body stocking, it is like full body sheer pantyhose. you can sew stuff to in and not worry about it coming off. I use it for princess kraehe.
Also consider if you use a stretchy material the tighter it is the more likely it is to stay put.
In Progress Cosplay:
Fem Castiel~ Supernatural
Adult Toph~ Avatar: Legend of Korra
Aeon~ Castlevania Judgement