If the banana plug isn't soldered to the wire, I'd remove it before pulling it through the wall. That will reduce the cross-sectional area of the wire you are pulling through, reducing resistance in the insulation and the possibility of tearing up the insulation.
If the banana plug is soldered to the wire, I would wrap the tape around in a tapered fashion, starting from the wire underneath the banana. Make sure the tape is well secured to the wire and fish tape, before working up to the banana. That's so the wire takes the strain rather than the banana. As you work up and over the banana, tighten your wraps gradually against the fish,so that it tapers in a conical fashion. This will reduce the resistance to pulling and lessen the possibilty of hacking up the insulation.
Hope you can picture what I mean and that it's helpful.