I took an early shower the night before and waited for my hair to dry quite a bit. It took about 3 hours for my hair to air-dry to the point where I felt like it would finish drying while twisted up overnight. (My hair is long and fine, but very thick.) You don't want your hair to still be wet when you take it out of the headband or it will be too heavy to hold the curls for long.
The original link with video how-to is: http://thepapermama.com/2011/07/hair-tutorial-no-heat-curl-html.html. She is very clear; I watched the video once then it took over a week for me to actually try it, but I didn't need to watch it again to refresh my memory.
When I took it out, I styled and placed the waves with my fingers. I did find that I didn't like the way my bangs waved (they're growing out and at an awkward length), so I ended up pulling them back out of my face. The headband did leave an impression on my forehead that took about 90 minutes to disappear. I was very pleased with the final product. Samantha even said it looked like Aunt Gretchen's hair. That made me very happy :) I could tell it did loosen a bit through the day, but by evening when I brush my hair anyway, I could still tell that something had been done.