I've heard great things about Conair and Revlon hot rollers (you can find them at Walmart or Target). I use the old pink spongy kind, and those never fail me!
I have velcro ones and they added more volume to my hair than actually making it curly so you might want to stay away from those!
I got these velcro ones from Sally's. I use bigger ones on the crown for volume and smaller ones every else for waves. There are easy to use I don't need any pins. My hair is fine though, if yours is thick they might tangle.
I got a velcro set from mark, 12 total- 6 big size, 6 small. I have an extra set if interested. I'm not a great hair person, I've only tried them once and I didn't leave them in long enough, but it came out okay