First, you have to wash your hair, obviously ;) I use Queen Helene's Mint Julip Shampoo because the shampoo recipe hasn't changed since it first came out in the 30s and it roughens up the hair cuticle enough to keep a good curl. Plus it smells divine! I don't use an in-shower conditioner because it slicks up the hair and makes the curl fall too soon. I do use a lightweight spray-in conditioner.
Next get yourself a good setting lotion. I like to use Lotta Body. The bottle says to dilute the lotion which I suggest doing or it gets crunchy, but I use half as much water as they suggest. I haven't been able to figure out a way to do consistent pin curls on myself so I use soft curlers and roll using the same diagram as the pin curls. The curls are slightly larger this way but I get very similar results. Plus it is easier to sleep in these curlers because they are essentially squares of foam covered in material. Do yourself a favor and pick up a sleep cap so you don't accidentally pull a curler out as you sleep.
Once you have all of your supplies you need some hints on how to roll your hair to create the look you want. I have posted a few pages below from the book 1940s Hairstyles by Daniela Turudich on rolls and pomps. Unfortunately this book is out of print but every once in a while you can find a copy that isn't too outrageous. I have included an Amazon box so you can see how much the book is going for right now. It is updated as new copies become available. Click on the pics to enlarge.
I have also started to use the book Vintage Hairstyling by Lauren Rennells which is much more affordable at $34. She has a great blog Bobby Pin Blog, which is a good companion to her book.