I love that authentic vintage curl, it's so glamorous. In my last blog I mentioned that my hair doesn't respond to heat! If I use a curling iron by the end of the day I end up with flipped under ends, no matter how bouncy it was when I left the house! So I took heat out of the equation and did some investigating, now I only do wet sets, and with that I actually use foam rollers!
To start things off you are going to want to dampen your hair. I tend to use a spray bottle, if you have washed your hair make sure it's to the point where it's almost dry. If you try to curl on hair that is too wet, you will wake up in the morning, take your curlers out, the curls will fall and you will be upset - trust me.
When you wet you hair, the molecules in your hair sort of fall apart, so when you roll it up and allow it dry this way, those molecules will form in that curled shape. This is also why wet sets last longer for those of us whose hair doesn't maintain a curl.