I also have hair that is quite thick and, I've recently determined, curly. With bobby pins, the normal sized ones never really worked to hold up my hair unless it was already in a ponytail when I pinned it into a bun (or even better, a ponytail and then braided), or I used approximately eleventy billion of them. Something else I realized when I had my hair done for my wedding is that not all bobby pins are created equal -- the ones the stylist used for my hair that day had a much firmer grip than the ones I usually buy at the store. It still took approximately eleventy billion of them plus a lot of hairspray, but I did have hair down to my waist and a relatively complex style.
What I found worked even better was using some of those Goody "spin pins" they sell now. They're like double-helix spirals that you sort of twist into the bun to hold it up, and the two that come per package is plenty. Those worked quite well, and didn't hurt my head. If you need a really secure bun, I'd imagine putting your hair in a low ponytail first and then using the spin pins would work even better.
When I use bobby pins to do something like pin my bangs back, I find they stay a lot better if I use two, and cross one over the other so they make an X. Sometimes just using two really close together works reasonably well, too.