I would look for products that identify as antihumectant here on NC.com in the product filter search.
However, I wouldn't give up with the oils so soon! I totally understand about coconut... That took days to get out of my hair, and it made my waves super greasy and sopping wet looking. I'd recommend trying argan, baobab, or camellia. They are all light and very absorbent, but they're not greasy. I've also had luck with a few drops of apricot. Camellia, though, I believe is supposed to be the lightest, so that might be worth a try