I did a feature on waves a few months back:
http://www.whatkatiedid.com/src/fingerwave.php
Unfortunately it's just as daunting as Nocturnes.
I picked up a '40s hairstyling book a couple of weeks ago and it also talks about waves, and how difficult they are. Apparently, in the old days, you used to be able to get a waved perm which is how everyone used to do it (doh! I guess this was the Marcel Wave!) But no one does it these days.
One thing you must do is use old fashioned granny setting lotion which I've just started using for pin curls. I figured extra hold mousse would be better (for some reason - modern technology probably). Setting lotion sets your hair with shine and without the crunch you'd expect. Granny sure had some tricks up her sleeve.
Katie