here is a couple more tips.....
1. Before you wrap the knees....roll the wrap REAL tight. You can do this by standing on one end of the wrap....pulling it tight....rolling it up....pull it tight again...roll it ...etc....etc. until it is all rolled up. This will help you to get a much tighter wrap.
2. I wrap a little different. Start low like jc said. wrap around....then go to the top of the knee and wrap around...then make an "X" accross the knee...go around a few times and tuck.
3. Only wrap when you go heavy....like 385+ (MAYBE 315 if you kinda small)
hope that helps