ANSWER: If you let your hair dry naturally (which it sounds like you do) and you're prone to frizz, a styling product is essential. My pick would be a styling cream because it adds moisture to the hair, which helps to smooth and soothe roughed-up cuticles – a major frizz culprit.
You can apply it to wet or dry hair, but be careful with the amount as it can weigh the hair down. If you have thick, course, curly hair, you can apply a large dollop or more. But if you have wavy or straight hair that's fine or thin, start with a small drop and add more as needed.
Also, as the hair is air-drying, try not to touch it too much. The more you play with the hair while it's wet, the more you aggravate the cuticle and create frizz.