Me (There are other pictures of me, so you can scroll through the album.):
Most Helpful Girl
In some of these pictures you have a curl in your hair ...
What do you do to curl your hair? do you spray it to make it stay?
I have pretty thin hair myself and never have any problem curling it what so ever, but it does drop out if I curl it with heat (i.e straighteners or a curling iron) and then don't fix it with hairspray after.
There are tons of methods to curling hair:
Velco rollers, you'd have to use pretty small ones.
Just plaiting you hair and leaving it over night.
Seen as you said you have wavy hair you can do scrunhing too (towel dry hair, put some curl defining mousse or poduct on it - though the roots and at the tips and leave to dry naturally, or dry with a diffuser - not a normal hair dryer).