A couple of Juvia cosplayers wrote down how they did their curls on their juvia wigs if you search for the cosplyers on here in the costume section.
I pretty much improvised mine after reading what people did with theirs. I used styling glue (like a heck lot!) after I heated up the edges of the hair that I wanted to curl. If your wig is heat resistant, then curl the ends of the hair over something round, like an empty toilet paper roll and let the hair cool down. Once cooled down, it'll have a curl shape, but to make it stay the way it is you'll need to clip it together and then I used a lot of styling glue to glue the curls in place. Wait a couple of days until it hardens and ta-dahhhh, it's done and sturdy. :3
I can do a tutorial for you (I'm not that great when it comes to writing down descriptions of how to do something) since I have to redo my Juvia wig again if you want. But it won't be the best tutorial. Just be enough to get a wig styled to have it look pretty enough. 8D