Firstly, begin with slightly damp (30 wet, 70 dry), tangle free hair.

Medium and short hair work the best, but long hair is doable, but it might be more of a hassle.

Place the headband (or in my case, elastic) where you plan to begin your curls.
Pull out the hair you don't want curled, in my case, my straight bangs.

Take a moderately sized portion of hair from the front side of your head and roll it under the headband.

Then, grab the rest of the hair you just rolled and another section of hair and roll.
Basically, you grab more to the section you just did.
Go until you're at the back of your neck and stop.

Now repeat on the other side until you reach the back of your neck.

Lastly, grab the remaining section of hair, the tail, and just twist it. Then pin it to the back of your head in an X formation for security.

Now sleep.

Or, if you're in a hurry, use a blow dryer on low, pointing the hair dryer down on the rolls and not up. It shouldn't take long, considering the wetness of your hair. But, it would also defeat the purpose of it being heat free.

Just unpin the tail of your hair, then unroll the headband from your hair.

En voila!
Curls.

I like to run my fingers through my hair to separate the curls and then lightly comb my hair so I get gorgeous waves.

Hairspray and you're good to go!