Guide - Buying and Working with Wigs
Effectively the same principles as straightening, but the wig needs to be fixed into rollers or otherwise held in the shape you want it to end up in.
Using hot water instead of a hairdryer, or both, is also fine. Curling tongs can also work – keep the heat low, or use fabric between the tongs and the hair. Again, try it out first before you melt some significant fibre. In general, buying a wig already with curls is best because trying to curl a wig can be a daunting task.
Ideally rely on heat over hairspray for the most natural effects. Hairspray is only to be a light coating to help, not the main ingredient (except for really dramatic styles).
Thread can be useful in many unusual styles, and has a use in holding ringlets together, lining each level like a ladder.
That technique will result in a more rigid style, as opposed to natural, but that can be suitable for some styles.
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