My concern is whether the style will last all day. Braids are gorgeous but they have to have something to hold them. With my hair, just the texture creates enough ...something or the other ... to make the braids stay pit. But, with relatively fine hair, what would keep the braids from slipping out after a couple of hours of hard dancing?
I bet if you used enough hairspray it would stay -- assuming you can get all the pieces in and neat long enough to spray it and have the spray harden. I've had enough hairspray in my hair that it was not going anywhere...short hairs or not.
I have seen some cute curled loose-ish hair, just pulled back from the face and sprayed a lot. If your hair can hold a curl well, that might be a good option. If it doesn't though, you might just get a limp wavy mess. So the pinned-curls look nikkitta suggested would offer more structure/stability in that case.