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Method #1 is probably the most common. All you need is your trusty curling wand and you're good to go. I don't use my curling wand that often, but when I do, the results are pretty much perfect. And the curls last all day. But don't get too comfortable breaking out your curling wand every day otherwise, the heat will destroy your hair. And when you do use heat, be sure to follow the rules to minimize damage as much as possible.
Wanna avoid heat altogether. Check out this video on how to transform your basic wig into an ultra cute shoulder length bob. This is perfect if you aren't quite ready to chop off your hard earned length just yet.
In my opinion, a flexi rod is just an unheated version of the curling wand. Meaning, you can pretty much replicate any style using a flexi rod without the dangers of using heat. In the tutorial above, she uses a blended approach of heat and no heat. But you can create a similar result going sans heat.
This next method is probably the most creative of our list. She uses a plain headband to create heatless waves on her neck length strands. While I do appreciate this somewhat unusual styling method, I still cringed a little at how things could go wrong if you have fragile ends. Another, safer alternative might be large bantu knots instead.