I just used my leave-in (Salerm 21 or NTM silk touch) and spritz each section with a mix of Pantene R/N setting lotion and wonder 8 oil. Mine take long to dry so I usually set it in the morning and leave them in all day and take them out in the morning. Depending on how I feel I might sit under the dryer for an hour before going to bed.
I only tried a flexi set one time and I used motions herbal setting lotion and my hair came out kinda of hard until I use curling wax to seperate the curls I suggest you use a leave in and a light oil. I'm doing my hair for a ball so i'll see how it works!
I did a flexi rod once and I used Paul Mitchell's foaming pomade. It gives nice soft curls with great hold. Only use a little. I didn't really like it, because I thought my curls were too tight and looked like a jerri curl, but that's because the rods were too small. Here are my pics: http://public.fotki.com/Kitchentician/aug_2004_flexi_rods/