I have naturally curly hair but normally I just straighten the crap out of it because it makes it far more manageable, as it's extremely thick. My curls are normally frizzy ringlet-y and I wanted to try defining them rather than getting rid of them all together. I bought it after seeing it on this Fleurdeforce tutorial, I found it cheapest on Ebay here, normally this wand is about £30 from Boots.
I tend to use it on the highest heat setting, it comes with a sexy heat protection glove but as long as you're careful and hold it at 90 degrees (see Fleur's tutorial above, tis very helpful) you won't singe yourself.
I tend to curl my hair til it's poodle curly (see below)
Then brush it out so the curls are more soft and Lana Del Reyish:
You can also put it on a low heat setting for more relaxed waves..
To conclude I would really recommend this wand, it's cheap and allows you to create waves and curls with not much hassle - especially if you're a massive noob at hair styling like me! xx