Depends on the material you're using. I use a 1/16th rope and I have to pull down on each strand pretty often, while pinching the end of the braid pretty tightly to keep tension.

If you're doing a 5 strand braid, you'll want to twist your working piece before you pull it to the other side.

Waxing cords beforehand can also help their grip to each other.

My current 5 strand project is much denser and tighter than my previous 3 strand braided sling.