I try not to use heat on my hair as much as possible - it is the killer of hair. If you have to, use a heat related product. I like the Moroccan Oil or one of the Keratase heat protection items. What other products do you use on your hair? Are you using any oils? I LOVE Lux oil for my hair (put on while wet or put it on after dried). I also do a hair mask using avocado, honey and yogurt - super shiny result.
I get keratin treatments to help with the frizz. I really like the Suave smoothing keratin shampoo and conditioner line and it is very inexpensive. Lately, I have found that a leave in conditioner works well for me. I also use argan oil. I have always had frizzy, dry hair, so I have been fighting this my whole life, but it seems to be getting worse with age.
I've been using a hair oil and lightly going over my hair after I style it to tame the crazy ones. I've also been adding a few drops to my styling cream that I use on my damp hair. Air drying my hair also seems to help. Using a blow dryer makes all of the crazy grey/course hairs stick out more.
WEN cleansing conditioner has done great things for my hair (been using it almost exclusively for about 1 1/2 yrs now). I will only buy it from QVC or chazdean.com because the stuff on the infomercials and in Sephora are a different formula.