Products. And pinning the curls whilst hot and letting them go completely cold before letting them unravel. And then hairspray. Lots of it.

Get yourself a pre curling spray. I know garnier sells one. It's for hot tools and curling. To use before curling. Then after that curl slip the curl off the wand onto your finger so it stays in a curl, then pin to your head with the curl standing in edge. You can do this with a bobby pin or a pin curl clip. Then once they are cooled give them about 30 mins undo them. And then as you undo each one spray with hairspray.

Only ever use your fingers to lightly separate the curls if needed. Never. Ever brush a curl made by a wand.