The ones with the gold barrel (hot tools, etc) have always worked best for me (until I found the InStyler, that is!). Be careful with the heat though - use the lowest heat setting you can to get and keep your curl. Those things get HOT and can really damage your hair if you aren't careful.
Have you experimented with different styling products? I always use a mousse, gel, etc on my hair before I blow it dry, and then use hairspray to lock it in after I curl it.
Also, after you've finished with your curling iron, instead of brushing it out or even running through it with your fingers, use the COOL setting on your blowdryer. That will sort of lock in your curl. In fact, I don't use a brush at all after curling - I just blow it out a bit with a cool dryer and then use my hands to tousel it in place, then a bit of hairspray.
Keeping your hands out of your hair during the day will also help your curl hold.
I love my T3 brand curling iron. I always use a spray protectant/styler like Biolage Thermal Setting Spray or something similar to set the curls and prevent damage. Loreal has a decent curling iron spray too.
I also have fine hair that never would hold a curl. But about two months ago, I was at my local TJ Maxx and I found a Rusk Professional curling wand. To my surprise, not only did it curl my hair, but the next day, I still had nice waves left in my hair! This is now the only curling iron I use on my hair. It was a little strange to use at first since it didn't have a spring, but all you do is wrap your hair around the wand...let it sit a few seconds, and release.
I know the OP was asking about curling irons... But I have no suggestion except for Steam ROllers.
My hair doesn't hold a curl with a curling iron for some reason, but I bought the Caruso Steam Rollers on Amazon a couple weeks ago and I'm not looking back... This is the only thing that holds my curl all day. HTH!