Just saw this thread pop up again and I've been meaning to post in it for awhile now... Hopefully this helps somebody!
I have thick, VERY frizzy/curly hair that goes down to about mid chest when straightened and a little past the shoulders naturally. Curls for cheer, gymnastics and formals have always been super difficult to do because my hair just frizzes up after an hour or so and loses the style. What I've found works best is before blow drying (when hair is still damp/wet) use a detangler for textured hair - I've been using Soft and Beautiful Just for Me for the last year or so - and then blow dry it until it's somewhat straight. I don't like the way using a wand looks with my hair, so I use a 1" flat iron and twirl it down my hair from the root to the tip. This takes me about 25 minutes to do. From there if I want a poof I tease it normally, pin it, and spray it down. At that point it's pretty easy to tie everything up in a ponytail and spray/tease if needed. If I want to go straight I basically do the same thing minus the curling and add a straightening spray before using the flat iron.
Products I've found that work well with naturally curly/frizzy hair:
-Biomega Firm & Fabulous hair spray (this is about $18 but WELL worth your money)
-Soft and Beautiful Just for Me detangler/conditioner
-John Frieda Frizz Ease Three Day Straight spray
-Herbal Essences Honey I'm Strong shampoo/conditioner (this prevents breakage from all the time it takes to blow dry/straighten)