You should visit
http://www.katiebair.com/wigs.html There are some tutorials, and a forum on styling wigs.
Basically you're gonna want to straighten the wig with LOTS of hot water (not boiling, but too warm to put your hand in). Let the wig air dry and comb it out, conditioner helps, and then get big curlers (like the 2 inch diameter ones), and use your hair dryer set to low (with very little blowing air) and get each curler too hot to touch. Leave the curlers in until the wig is cool and wah-lah! you should have a nice flipped up curl.
I've never actually done any of this, but I have been to about 4 of Katie Bair's cosplay wig panels. Highly recommend going to the web site.