Use a small curling iron (holding it parallel to your head) and wrap small sections (about an inch) around the barrel for a glam, '40s look.
Do your entire head, curling all the way up on one side of the part. Vary how much curl you get on the other side so you leave a bit of super-smooth roots on one side.
Spray your whole head with a setting spray and a bit of shine spray when you're done.