Herbal essences and other inexpensive shampoos will be alright for regular hair, but for sensitive and thin hair better products need to be used. I really like L'Oreals sulfate free shampoo and my mom uses the argan oil brand for her thin hair.
As you have sensitive hair, using a hot iron (even just occasionally) can damage your hair more than you think, so as others have said get some products to protect your ends.
For dandruff I found Klorane to really worked. It's a shampoo made mostly with natural products (fruit oils and extracts) and I found it really helped my scalp. They also have nourishing shampoos so you might want to look into those as well.
You also might be drying your hair too much by the way you wash it. You're suppose to only massage your scalp and not gather your hair in a ball on top of our head (although it's tempting). Most of the cleansing needs to be done at the scalp, and then the rest of the hair only needs to have the shampoo wash through it when rinsing to get rid of the dirt. If you wash all your hair too vigorously it can strip your natural oils away, when the point of washing your hair is only to remove dirt and excess oil.
Ever since I've changed my way of washing my hair I can go 6 months without a hair cut and still not have a split end in sight (and I used to have a lot of split ends too). It stopped my hair from getting too dry as well.
I know some people said they don't use conditioner and their hair is great, but the truth is not everyone can pull that off. Most, especially people with sensitive hair, need some sort of moisturizer (whether it be conditioner or a cream you put in after). It depends however what you buy. There are a lot of products out there that are absolute junk and will make your hair worse because companies put the cheapest products in them, and while it works for some people, it makes more sensitive hair even worse. So for conditioner you should try something that is made specifically to nourish and strengthen weak hair, but is preferably made with some natural oils (like argan oil for example). And yes as others have said, only conditioner on your ends, never on the scalp. :P
If nothing seems to work, you could always try olive oil. It doesn't help everyone (for some people it's too greasy), but i know a few people who bleached their hair and did it to make it less dry and brittle, and it worked. Right before washing your hair you pretty much put a bit of olive oil in your palm (very little), and work/rub it into the ends of your hair. Make sure its only your ends and not near your scalp, or else your hair will look greasy after you wash it.
A ride a day keeps the worries away!