I have the same hair type as you and here's what I do to change my hair from frizzy to curly.

First, I wash my hair with a sleek and shine shampoo and conditioner. Lately I've been using Garnier Fructise and I love it.

Then, as soon as I'm out of the shower I towel dry my hair and immediately run a leave-in conditioner through it to keep it from drying out (which my hair does a lot). Then I put some sort of styling product like gel or mousse in it and then hand curl it.

It's really easy to do, and not only that, my hair stays curled and looks wonderful all day.