I've seen this on a couple of shows:
Hair is curled with an iron. Then the curl is clipped into the hair where it can remain curled. Spray the curl with hair spray.
Do the rest of the hair that you want curled, the same way.
Finally, before you take out the "clipped curls", give all hair a spray again.
By allowing the curls to cool down without losing their new shape, apparently they will retain the new curled shape better.
.................................................. ......................
I have also heard of using sugar water as a setting lotion. Maybe mix a tablespoon of white sugar with 1/2 cup warm water - just a guess.
In this instance, comb hair with the setting lotion. Then set hair in a roller until it has dried. Spray before and after before taking hair out of roller.
Try these if you like, and let us know if it helps