Shego's hair is long and has a slight curl to it.
I grabbed my basic tools for wig maintenance --- a oil based spray to help with frizz, a steel brush, a hair straightener, and some curling rollers. (The Shego wig is from Arda, and is heat resistant and can be styled using a hair straightener.)
I used several different sizes at various heights, then let the wig cool down.
I got a nice curl from the curlers, and using various sizes gave me both and tight loose curls.
Overall, I was pretty happy with how the finished wig came out. I got a chance to show off my costume to Stephen Silver, who is the character designer for the show, Kim Possible (and Shego). He saw me from his booth and came out to greet me. It was a good feeling when he said, "Look, there's a well done, Shego!"