I find that making my curls last all day can be challenging.  However, I've found a trick that I use each time to make my curls last for a longer period of time.  Here's what I do.

After sectioning off my hair, I take a 1 inch section (I also use a 1 inch curling iron since I have long, thick hair) and spray it lightly with hairspray.  Then comb through the hair to make sure it's not sticky and curl the piece like you normally would.  I've used many hairsprays and the one I am currently obsessed with is the Frizz Defy Hairspray from Nexxus.  Not only is it lightweight, it also prevents your hair from looking sticky and greasy.  As an added bonus it also smells good.

Now here's the trick, after the piece of hair is curled, you gather the curl into your hand.

Then take a bobby pin and pin the curl together.  This allows the curl to cool and hold its shape.

After you are done curling and pinning all your hair, remove the pins and your curls will last all day!