Sleeprollers.. Yay or Nay?

Well, I purchased sleep rollers to do my hair in time for a night out and with all the people saying how amazing they are on facebook and twitter, I thought I couldn't go wrong. But after trying THREE times to get some curls, I am beginning to give up.

It says on the packaging to use on DRY clean hair, which is what I did the first time but when I woke up and took them out the following morning, my hair was as straight as it was when I put them in. So then I tried them with damp hair as it says on a tutorial I watched on YouTube but nope, still nothing.
I even tried putting them in really tight and putting a shower cap on whilst I slept so that they didn't budge at all, but that still hasn't worked.

I have been out and bought a curling hold spray which I will be trying later on tonight and if that doesn't work well then I give up! Does anyone have any idea how these things work?! and does anyone else have a problem with them or is it just me and my insanely straight hair?

Would really appreciate any comments with any advice as to how I can get the curly locks I am wanting. I will upload photos of the way I have put them in and how it turns out. But would love any help from any fellow bloggers.

Thanks in advance..