I use two layers. The inner layer is ace bandages, and the outer layer is horse bandages, which are basically like ace bandages but they come in bright colors. Both of them are designed to be worn for extended periods of time, so unlike saran wrap they breathe and absorb sweat, so they're a lot more comfortable.
The first layer of ace bandages restricts a lot of movement, and the second layer, because those bandages stick to each other, really cements the person in.
I always get several different widths of the ace bandages, narrow ones for the limbs, and thick ones for the torso.
Watch out when wrapping the neck, only use a very loose wrap if at all.
And if you're wrapping someone with long hair, make sure you don't attach it to anything except her head, or it will pull when she tries to shake her head. I usually leave the hair loose, but tastes vary.
This video is one of my first ones, and it shows some of the stages. As you can see, I left some spots strategically open, and you can always peel away some bandage if there's a spot you want to get at but overlooked when wrapping.
All of that being said, mummification is advanced play, and should only be attempted if you're sure you know what you're doing, and while taking every possible safety precaution.