/cgl/ - Cosplay & EGL

I have extremely fine hair. I have been trying to curl it, but the heat doesn't seem to want to hold a curl. I've tried mousse and non-aerosol hairsprays, but they don't seem to help. Can anyone recommend some good hair products that will help hold a curl but not destroy my hair?

I really don't want to have to wear a wig for my lolita outfits.