We used to be in FL and are now in the Washington DC (which is actually more humid in my opinion). The only stuff I've ever found that works consistently, and doesn't gunk up my hair is by a company called Ouidad (
www.ouidad.com). They are on the pricey side, but really work, and they have a quiz thing where you answer questions and they tell you which products would work best.
I highly recommend them. It's 101 degrees here today and about to thunderstorm, and I am not frizzy at all. And this from someone who was teased all through middle school for having a frizzy head!