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Instead of washing your hair the same day you want to curl it, try to wait a day or two before curling your hair. The natural oils in your hair will give it some texture and help the curls stay in place instead of slipping right out. When your curls have cooled and you've taken them down, use your fingers to style your hair. Avoid using a comb or brush, since this could cause your curls to come undone. Use a medium or strong-hold hairspray to hold your style in place for the rest of the day.
Start with day-old hair. Finger-comb your curls. Finish with hairspray.