The curling wands I have tried are tapered, so they go from wide at one end to narrower at the base. I find this gives a more natural look. The irons I have tried are the same width all the way down & I struggle to get as close to the scalp. I also find that the clamp leaves a dent in the hair & just generally makes it more fiddly to handle! That may just be me though!
With the wands, I have found the best technique for me to be holding the hair in place on the wand (with a heat-resistant glove!) for 8-10 seconds with the GHD (more like 20-30 with the Babyliss). I then pull the wand out while still holding the hair in a ringlet while it cools. I think you can clip the hair while it cools to save time but I have not mastered this yet! If I just pull the wand out & don't hold the ringlet while it cools I find the curl drops straight out.
With regards to the GHDs being worth the money, for me they have been. I still got long-lasting curls with the Babyliss, but they were more unnatural & corkscrew-like, required breaking up with my fingers which sometimes led to frizziness, & I always got really tangled hair at the nape of my neck; I referred to it as my birds nest! The GHDs give natural looking curls which relax slightly & never leave me with tangled hair. They are expensive though; I was very lucky to win £70 & then my friend who works in a salon gave me her 20% discount so I only ended up paying £20 of my own money.
Both wands did give me long-lasting curls (usually 3 days), but I don't know whether that's just my hair type!
I would add that I'm dyspraxic so find certain fine motor skills quite tricky, so this is just my particular experience!