I've got fine hair that's stick straight and very smooth, some toys simply don't work for us because we've just not got enough "bulk" for them to stay in. Have you tried cutting the toe off a clean sock, and making a sock bun form? That has been working great for me.
I tried that very same device once, with the same result. My hair simply slides out of it. I have the same thing happen with most barettes I try as well.
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