The Wave

It's pretty much like this:
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There's a video below that shows me doing it, although it's sped up quite a bit. I usually divide my [wet] hair into 3: the top, the left and the right, and throw in the rollers accordingly and go to bed. There's lots of non-sticky hairspray involved and setting creme. I did this every day for 6 months, and so now I avoid the process as much as possible!

An easier way would be with a curling iron, although the effects don't last as long and don't quite look as authentic.