Everyone had great tips here. We use silk pillowcases anyway because both my daughters have really long hair and it doesn't 'scrub' the back of their heads like regular cotton pillows. They have trouble sleeping in the bandannas, though, so we usually stick with the pillows.
Besides, after a week or so they're 'over' the whole braid thing and want them out!
I usually do the braids myself before we leave-I watched them one time and said, hey, I can do that!
The sunscreen really is a must-don't forget the tops of their ears, too...