I've been talking a lot about pin curls lately both on the blog and facebook but when you're too busy for pin curls or if they just aren't a good option for you, try hot rollers! I'm a big fan of multi sized roller sets from Conair.
For an easy flapper hairstyle try a wild curly look much like Clara Bow's 1920s curls.
The next style works well for 20s-50s hair looks with fluffy side-parted curls. The setting pattern model has slightly shorter hair with bangs, which are curled under and side swept.
For a youthful look try "Gaytime" a 1930s inspired style with a sweet bow.
My hair has a hard time keeping a curl with any kind of heat set so I spritz it with a little setting lotion, blow dry completely, then roll. It seems to keep a curl much longer that way.