You didn't use enough oil
What's the right amount of oil? This will vary for everyone since some may have more hair, the hair may be more coarse, or the hair may naturally be more dry. Olive Oil is my chose of oil. After rinsing out the Curly conditioner, this is the moment your hair can absorb the most moisture, so be sure to put more than enough oil. A quarter sized amount is never enough. I use three palms full of oil in my hair. I apply one palm full of oil in each section of hair, the front, middle, and back. You have to be the judge of how much you need. I suggest using too much oil than not enough. Too little oil, and your hair can become dry and brittle. Too much oil and the worst case scenario is that oil spots are left on your car's driver head rest. LoL. The point is, too much oil can't do your hair any damage.
You didn't use enough product
If all the hair isn't saturated with product you'll have sections of your hair that look frizzy or the curls will look undefined. Always apply product in sections. Then while working in that same section, spray your hair with water, and brush the product through your hair with a paddle brush. Now you should be able to see whether or not all the hair in the section has product.
You didn't use the right product
You use a cream, pudding, or souffle, huh? Theses types of products do make your hair feel soft, but I'm sure by the next day or two days later, your hair either needs to be retwisted or looks like a frizzy cotton ball. That's because you need a product that will "set" your hair. Imagine if you visited the salon, got a rod set, sat under the dryer 2 hours, and paid $85. You wouldn't go home and re-roll your hair that same night would you? You wouldn't wet your hair down in 2 or 3 days and re-roll your hair would you? No, you'd expect your set to last a minimum 1 week, maybe 2 weeks. You should expect the same with your natural wet sets. Curly Girl's Magic Curly Gel is the right product for Curly Girl's with Normal to Coarse hair. It gives hold that lasts for days without rewetting.
You play with your hair while it's wet
Wash 'n Gos and natural wet sets require the hair to be fully dry before fluffing. If you play with or fluff your hair while it is wet your hair will become frizzy and you'll lose your curl definition. Although the drying process is not the best natural look, you have to wait until your hair is dry before making it full or big. Which leads us into the next fact.
Your hair was NOT completely dry
So many dread this next suggestion, but it will help speed up your drying time. INVEST IN A HOODED DRYER. So many Curly Girl's are disappointed when they find out their twist set that they were letting air dry over night didn't dry completely. Individual double strand twist could potentially dry over night, but flat double strand twist need additional drying time because the hair is compacted together. If the hair is not fully dry when you take it a loose your set will begin to revert back to your natural curl pattern, will be frizzy, and won't last for long.
You pick out the ends of your hair
The curl pattern created by your twist set and wash n go's rest in the mid-lengths and the ends of your hair, which means you don't want to comb or pick out the curl. Pick only at the root by using a hair pick or wide tooth comb. This allows the roots to get full and the ends remain curly. With oil on your finger tips, you can separate a few of the curls, but dont comb them.