Good question! The answer is, as can probably be expected, a combination of elements.

Firstly, the 18th century is an interesting period for female hairstyles because there was so much change from beginning to end. It began with the comparatively natural ringlet styles of the 1600s (which would see something of a renaissance in the middle of the Victorian era) and ended with absurdly elaborate styles decked out in fruit and jewels.

But how did they (or their maids) actually do these hairstyles?

Plocacosmos by James Stewart is an invaluable source in this regard. It dates from the 1780s when these styles were arguably at their peak, and contains an incredible amount of detail concerning not only hair but general advice for life and health.

The advice offered to women with thick hair is:

If the hair is strong, that is, thick in itself, and appears coarse to the eye, with a bend at the points, as inclined to curl, pinching [i.e, how tightly the hair is wrapped around the curling iron] may be re-laxed a little, as less heat will cause this hair to buckle; again, if it should be frizzled or twilling, and carry to you the idea of fringed silk, the heating must be still slighter.

The author then adds that:

If the quantity of hair should be very great, and grow very thick and close at the roots, and if it should be moist or sweaty, you must beat a quan-tity of powder in before you comb it.

He goes into enormous detail about exactly how a woman's hair should be combed, cut, parted, curled, and pinned which is simply too much information to be copied out here—the pinning alone takes him around fourteen pages to describe! (If you would like to read all this, however, the relevant part starts around page 249). But the general answer to your question is animal fat, powder, thick pins, and a lot of patience.

The animal fat functions as an early pomade which itself is a sort of early hair gel, and the author puts a lot of emphasis on ensuring that a woman's hair is slick with the stuff before styling so that it will stay put and so that stray hairs won't escape and ruin your hard work. The powder serves the same function but to a slightly lesser extent.

Another, though significantly less dense, book on the topic is English Costume by Dion Clayton Calthrop. It was first published in 1906 and so isn't contemporary, but Calthrop claims that:

Heads [...] were only dressed, perhaps, once in three weeks.

Which gives some indication of how difficult and time-consuming it was to work on these hairstyles.

So, given all this, I find it no surprise that you're having trouble!