A few ideas
For some reason my hair doesnt hold a curl when i straighten. To get the curled straight look i might do one of these things
1)rollerset-a traditional rollerset with a bit of setting
lotion is pretty much a guarunteed way of getting the bouncy curly look that does not drop
2)pincurl/satin rollers over night-the heat from your heat will help to lock in the curl while it sets over night.these curls might drop during the day however so you will need to do this nightly
3)wet hair and put on rollers- after the hair is straightened slightly dampen the hair with water or a bit of setting lotion and roll onto a magnetic or satin roller. Avoid the root area. Let air dry overnight. If rolled correctly you will yield a smooth frizz free curly look that has a good lasting power.