Wrap Advantages: helps to better see arrow in flight, not near as big of a "mess" when removing fletchings, looks "cool" and adds a personalized touch to your arrows.

Wrap Disadvantages: Can't refletch just one vane...have to pull wrap off and re-wrap and re-fletch all vanes on the arrow. Will change FOC a little (although probably not much)

In regards to the thread originators question...I too, as anoter has stated, put a small dab of glue on the front of the vane and on the back of the vane to help keep the vane down. When doing this, I haven't ever had a vane start to peel off the shaft.