It could be one of many reasons.
1) you had them on the steamer too long and it made your hair wet,
2) You didn't leave them on the steamer long enough (I think my booklet said 8 seconds or something like that, but I just keep touching the sponge until it gets warm)
3)You didn't leave them in your hair long enough. (In a rush, I once took them out to early and my hair was a little damp)
I don't think it's required but more often than not, I gather my hair in a ponytail style and spread a little pomade or something on my ends before I put them in.
I LOVE those rollers. Don't give up, just keep experiementing. You'll be glad you did.