In my experience...
I have found that the best, longest lasting curls are gotten the same way that little old ladies get them... plastic rollers rolled by a beautician on wet hair. (They put you under a dryer afterwards.)
Sponge curlers are next, but you have to have your hair DAMP, not WET and sleep in them all night long (you sleep terribly!)
Hot rollers and velcro rollers almost tie. Hot rollers give you loose bouncy curls.
Once in a while to treat myself, I like to go to the local beauty college and for $8 get my hair wrapped in plastic rollers. The whole thing usually takes about 2 hours, but, (if I don't have them touch the curls after the curlers are taken out) I can style it how I want to and the curls will last for a couple of days. Rememebr, those places are full of little old ladies that go once a week for a wash and a set (that's what they call it) and who depend on the style to last all week long!