Any oil or pomade would do to seal in the moisture. Or you can use a serum if you have that. Just don't go heavy on the oils.
I use just a little Aveda Anti-Humectant (actually a pomade) on my dripping wet hair after applying leave-in and/or Aveda serum.
I airdry in my rollersets and my hair is smooth and bouncy. So I don't think your dryer being hot enough has to do with frizziness, probably not the oil either. More than likely it's your technique. Make sure you are getting your hair tight on the roller and keeping it there, letting your hair dry all the way before removing them. Make sure you aren't using too much hair on the roller too.
I'm with you. I don't use setting lotions or anything like that to rollerset my hair. For me, the less I put in my hair, the better my rollerset comes out. I've figured that for me, putting anything extra weighs down my hair.
If your hair came out hard you probably need to add water to the setting lotion. I add water to mine also run a creamy leave-in conditioner tjrough my wet hair before I set it.