Plug in your hot air brush, and let it warm up. It shouldn't take very long to do so.

Once it is warm, start brushing your hair.

Wrap a lock of hair around the warm brush, and begin to slowly go down the lock.

Stop periodically, while brush is in hair for a few seconds. Then continue to go down.

Once this is done, you should have a really nice, big curl.

Do the same with another lock of hair and repeat.

Keep repeating steps until all your locks are nice and curly.

Curls should remain in your hair until the next time you wash your hair.
 

This can also be done with a hair straightener, and of course, a hair curler.