Don't put any other bandage under tegaderm- it will get extra icky and defeat the purpose. You want it to stay moist while it heals to avoid scarring. You can put a gauze wrap *over* the tegaderm to help keep it in place, and if you can find one of those mesh tubes that goes over bandages that will help keep it in place on things like elbows and knees.
I usually keep a 50 ft roll of tegaderm in the medicine cabinet. It's cheap direct from 3M. It's not sterile, but it's not exactly dirty, either. The precut boxed patches are sterile. Having everything I need for road rash in the house seems to reduce my chances of actually needing it-- it usually gets lent to friends.