I used to have that exact same problem, but what helped was:
1. Not letting my hair go alllll the way bone straight. I used to try to go as straight as humanly possible, but now, I shoot more for 85 - 90% straight. It's made a world of difference, and my hair feels thicker and stronger overall as well.
2. Bringing your own lightweight leave-in, heat protectant and/or serum. I think this is especially important for fine-haired people. I notice that for some reason, the stuff that they use at some salons like...stick my hair together and make it look flat and oily. Like a wet seal.
When I bring my own leave-in and demonstrate exactly how much should be used, I get a much nicer result.
3. Using smaller rollers for the set. It takes longer to do it that way, and the stylist might be mad, but smaller rollers will give more volume and bounce than the larger ones will. I usually don't go bigger than the purple ones unless I'm in a rush to get out of there.
4. Getting a light blowout after the set, concentrating on the roots. It works like a charm.
Of course, all of that stuff is contingent upon you having an approachable and compliant stylist, or being a DIYer. If your stylist is the kind of person that thinks that (s)he's hair Jesus and ignores/fights your instructions, then it won't do any good. hth.