I hope that you didn't use a curling iron! The wig hair on these dolls is essentially plastic, so using any kind of dry heat from metal will make it frizz and melt worse. You can use steam heat, though, as long as it comes from an all-plastic steamer (no irons, please--too much metal). What I have done that seemed to work well was to make a small curl and pin it with people bobby pins and then steam it. Don't use doll bobby pins, because they seem to be coated with some kind of varnish that melts when steamed, making a sticky mess--I know about that the hard way.
Joy