Braiding is a hypothetical procedure. The general concept behind braiding is that three strips of skin (or more) are lifted up and left attached at one end (sort of like the start of a skinning). Then, these strips are braided and packed down close to the body. The stories go on to say that when healed, the resulting scar looks very much like braided bread.
Unfortunately that's just not the way the body heals. If someone actually attempted this, the braided skin would not get adequate blood supply on top of not being able to adhere to the tissue below, resulting in necrosis. In a best case scenario, it would be an aesthetic nightmare, as well as the potential start of serious medical repercussions.
While a number of people claim to have seen it, it is more likely that they saw "normal" scarification designed to look like a braid.