I am using a curling iron to try and curl 2 different wigs. This works, but you have to hold the wand in your hair for a few minutes before moving your hair down to get waves in your hair. Curling curls seems to require more heat than a regular curling iron. Since I've mostly applied this to my wigs and not my own hair as I don't heat my own hair for fear of damaging it as it's already thin, this works for me. This gave both wigs some volume and definitely because they were originally flat and lifeless. Unfortunately, there is a learning curve, especially when playing your dominant side.
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