I'm thinking curlers and either a hair dryer or hot water.
and remember this:
bigger curlers = waves
smaller curlers = ringlets
For the hair dryer you'd put the curlers in, and blow dry it for awhile and on a low heat because you don't want to melt the wig.
For the water you'd put the curlers in and drench the thing in hot water. Not too hot, but I'm currently striagtening a wig with the hot water meathod, and I'm using the hottest water that can come out of my faucet. Let it air dry and when it's compleatly dry take the curlers out and hope you got good results. ^_^;;
I've never curled a wig, I've only straightened them. I think there's a curling tutorial on Amphigory, and if I remember correctly they made nice ringlets. I dunno if it'll help much. ^_^;;