Differential Privacy (DP) is the leading approach to privacy preserving deep learning. As such, there are multiple efforts to provide drop-in integration of DP into popular frameworks. These efforts, which add noise to each gradient computation to make it DP, rely on composition theorems to bound the total privacy loss incurred over this sequence of DP computations. However, existing composition theorems present a tension between efficiency and flexibility. Most theorems require all computations in the sequence to have a predefined DP parameter, called the privacy budget. This prevents the design of training algorithms that adapt the privacy budget on the fly, or that terminate early to reduce the total privacy loss. Alternatively, the few existing composition results for adaptive privacy budgets provide complex bounds on the privacy loss, with constants too large to be practical. In this paper, we study DP composition under adaptive privacy budgets through the lens of Rényi Differential Privacy, proving a simpler composition theorem with smaller constants, making it practical enough to use in algorithm design. We demonstrate two applications of this theorem for DP deep learning: adapting the noise or batch size online to improve a model's accuracy within a fixed total privacy loss, and stopping early when fine-tuning a model to reduce total privacy loss.