When you are curling it, what are you using for rollers? Because when I was trying to hold curls into wig's in college I know spraying them heavily and then setting them in rollers for a night or so really helped. However, with the type of curls, the type of roller I think is really important.
I have been looking at Merida's hair myself, as I am about to try to Cosplay her but use my own real hair, and know there there are a lot of different sizes of curls and some braids too. I almost and thinking of making some hair pieces to add into my hair maybe using extensions and yarn even (if you get the right type if can really look like real hair).
The only other things I can think of are using a mixture of elmers glue (a bit hard core I know) and water or even using hair glue by Got2Be, they make the best.
I don't know if this helps but I don't mind trying to help you figure out some other ideas if you still need it! Good luck!