A good set starts with clean, wet hair. After shampooing, squirt on some setting lotion, work it in with your fingers and comb it through.
Carve out a small, rectangular section measuring about 1/2 inch by 2 inches. Comb the section straight out from your scalp. Put a magnetic roller on the underside of the section, close to the ends. Smooth the ends around the roller until they cling on. Roll the roller toward your scalp until it rests on your scalp. Hold it in place with a roller clip.
Keep winding your wet hair around rollers until it's all rolled up.
Let the set air-dry completely or speed things along with a blow dryer. If you have a hooded dryer or one of those hood attachments, great! If not, direct a blast of warm air from your hair dryer over the rollers.
Remove the rollers. Finger through your hair to separate the curls. Fluff it, style it, pin it up ... anything you want. Spray in place.
Smaller sections result in more curl. Take narrow sections and put more rollers in your hair to increase the amount of curl you get from a wet set.
Don't take them rollers down until your hair is completely dry! Damp hair won't hold curl no matter how much you spray it. Dry it all the way to lock in the curl.