I used to pin curl my hair religiously before bed only to go out in the damp the next morning and watch all the curls fall out! a wet set left to dry overnight was the only thing that worked though, tongs did nothing.
I got most of my tips from here
Nocturne.com :: Vintage Hairstyles
Now I have hair a bit like Noel Fielding and love it, I randomly chop the back bits off and let the fringe grow long, probably the least burlesque hairstyle.