My hair does the exact same thing after my lunchtime spin class. The only thing that seems to help out is mixing a very small dab of Aveda"s antihumectant pomade with my normal styling products on my spin days. My hair definitely gets curlier after my class now but at least it tones down the frizziness. Before I started to do this, my hair was nothing but frizz after my class, there was no curl definition even left.
Hope this helps and for a reference, I have 4b coarse low porosity hair. Good luck!