[Azhia]

Hello lovelies...
Michelle, what is the texture and condition of your hair? You mentioned thick and straight...tell me more: coarse, dry, oily? Do you get split ends a lot? When you say your hair never held them, what do you mean? You'd get the perm and then it would come out a day later or so? What do you do now to attempt to get curl?
There are 2 routes: perm and no perm...
1) PERM
Aveda has a gentle line of perm products that will not damage the hair as much. Any perming (for straightening or curling) will incur some type of damage, as the chemicals open the cuticle to allow the chemicals to go into the cortex and restructure the hair, often irreversibly).
You can opt for a large, straight rod. Convex rods will create a curl that is tighter at one end than the other. It sounds like you want a uniform sized curl.
You can also get a perm that imparts body and not necessarily a curl so that when you do curl it (heat, rods, whatever), it holds better. I believe these are called non-thio perms. Don't quote me. I don't remember the terminology. The important thing is the practical implication of getting a perm.
If you are prone to split ends, the perm will dry out the hair considerably so you'll have to use more product to protect and nourish/hydrate the hair.

2) NO PERM
If you go with no perm, you can choose to go curly or straight w/ the least amount of chemical damage. Sometimes it's nice to emphasize thick, straight hair, or if you feel like it, beautiful rich curls.
If you want your hair to hold curl, start by using a curl enhancing product before styling. If you want to stay more "natural" and the least amount of chemicals, stick with Aveda. They have this volumizing powder called "Potion" that lifts at the root and helps enhance curls because the hair is fuller and not lying flat, which weighs it down and drags out the curl. They also have Be Curly products for use before, during, and after styling. You can throw these products in your hair and if you know ahead of time, perhaps the morning of a performance, throw small sections into pin curls or rollers, making sure the curl ends right on top of the scalp, very close to the root for that lift (don't leave room for the curl to "flop"). The long-term type of curling, either wet or dry, is safest b/c you're not subjecting the hair to high heat and it will last longer. AFTER you take it out, you can separate the curls with the curl-enhancing product and then spray the shit out of it (excuse my French). Keep bunching the curls with your hands so that they don't drop/flop/drag down.
If you decide to use a heat implement, Big Sexy or Bumble and Bumble (highly recommended product line!) or Fudge (another GOOD one!) has products to spray or swipe through the hair before heat treatment to hold/enhance the curl. Also before using a heat implement, spray a protectant on it, like Aveda's Damage Control.
Hope this helps! :0)