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For me the hair has to be pretty wet in order for it to lay properly on the roller. Also try to hold the hair as straight as possible the tension helps it lay smooth on the the roller. Have you tried a ponytail rollerset? I was struggling with my rollersets for a while now and it really helped me. As for the setting lotion it's not necessary, I think it depends more on what your going to do with your rollerset. If I'm going to leave my hair out after a rollerset I add a small amount of setting lottion to maintain the curl. If I'm just going to wear it back in a bun I just use moisturizer.