Most curling irons will need a little time to heat up before you can use them. If you try to curl your hair with the iron before it reaches the correct temperature, the curls will not hold.
Some curling irons will have different settings which you can play around with until you achieve the best result. Try to keep it at the lowest temperature possible though, to cause less damage to your hair. Look for curling irons that say none damage on the box.