lifeisgood, you and I have almost the same story (except SF for me, not Phoenix) ... I too use the contouring milk and find that it is worthless. I But I keep using it 'cause I love anything with "milk" in the name
I also style in the same way and used to either religiously straighten or pull back all the time.
As far as SATC season 6 hair ... the obvious high-maintenance way would be to add a gel/styling creme to your normal routine and either A) put in large rollers when ~80% dry and blowdry till 100% dry, then loosen with fingers or B) twist around large barrel curling iron after 100% dry. Option B has given me my dream hair but alas, it's way too time consuming and I also find it to be fake in a sense.
The lo-maintenance way that does not always work well for me is to work in a straightening balm. Then, instead of straightening, diffuse with head right side up. While drying, you can finger curl individual pieces to control the amount of curl.
Hope you will let me/us know if you find other methods that work for you!