My hair is so soft it would never curl, ever, with an iron. I got a wand for Christmas, I believe mine is Conair (was around $30, with a red handle), and it works great!I would curl it at night, sleep on it, and do a few touch ups in the morning then wear it all day. I feel you just have more control over your hair with the wand.
If you don't want to buy something new, I've seen lots of people just use their regular irons as if they're wands. Some lift the clamp and wrap their hair around the barrel but I've seen others who do it without lifting the clamp.
I think just wrapping it will help it hold better since the heat is hitting more of your hair, if that makes sense?
Also, make sure you let your hair cool completely before you touch it or else it will fall quicker. Use light-medium hold hairspray, using heavy hair spray can cause it to fall on some people too, just depending on your hair I guess. I used to just use freeze spray (I forget the brand?) on my poof and Pantene or Aussie on the rest of my hair. Sorry this was so long!