I had this problem for quite a while and once asked Teller since he does the needles beautifully. He told me that's something every magician needs to work out for himself. You'll learn a lot more that way.
So I tried lots of different methods. I finally settled on pleat between needles and a wrap around the bundle. Repeat.
Oh, and set it up before the show. They seem to come apart better if they haven't been wrapped too long.
I highly recommend Spill's DVD (and I don't recommend DVDs that often).