You can use bread straight from the bag, but I much prefer to ‘steam’ the slices first at home.
This results in a tacky bread that stays on the hook if I miss a bite and, at times, I have caught two or three roach on the same piece.
To steam it, I remove the crusts from the bread, microwave a slice for a few seconds and then wrap it in clingfilm to seal the moisture in. I then zap another slice and fold it into the clingfilm and so on, ensuring each slice is moist.
I then remove one slice at a time on the bank. Bread prepared this way very seldom falls off the hook.