No heat styling to get hair like that fails miserably because it frizzes terribly and I hate waiting so long for it to dry. So the popular no-heat curl methods do not work for my hair.
My hair blows out and flat irons really easily. BUT, it will not hold an artificial curl for anything. I've tried curling with a flat iron, curl wand, and a regular clamp iron. It makes a gorgeous curl..which promptly falls out 10 minutes later. If I curl and clip it while it cools, it stays a little longer, but is still straight in 20 minutes.
Does anyone have an idea for how I could make the curl stay? Should I try rollers? Or is that hair a lost cause for me?
I would maybe try a wet roller set using large rollers. This will smooth out your natural curls without heat, giving you looser curls to play around with. There are techniques for setting rollers (on base, off base etc) which determine how much body the curl with have off your scalp and how the curl will fall.
It helps to add some setting product to your hair before the wet set to encourage your curls to stick around longer. Also, Sally's makes a really good heat spray (Turn up the Heat). I find that if I spritz this on hair it either will make it really straight if I'm using a flat iron or it will help a curl stick around and look shiny. (I tried curling some super long hair extensions I bought and it worked great!)
It also helps to clip up the curl as soon as you've curled it to let it cool and lock into shape (which you're already doing). I have seen people spray their curl lightly with hair spray before they clip it up to really help hold the shape. This step seems to be crucial or your hair IS going to loosen up and fall flat.
Lastly...you could try Curlformers. I used them on my blog (when I had shorter hair) to loosen my natural curl patter. I used their biggest rollers and I had sausage like big loopy curls. These relaxed a bit after an hour or so resulting in nice beachy type waves once I ran my fingers through them. Maybe you might want to try this?
Just throwing ideas around...hope some of these help.