/cgl/ - Cosplay & EGL

So on curling wigs, I've tried curling one of mine from eBay a while back with a curling iron, and with the low setting, it would not curl, and with a higher setting, I melted a (tester) bit of hair.

I've looked up tutorials and they have said to add some water to the wig and curl with the lowest settings. I've got time to either curl my hair or curl this wig for today. Can someone please confirm this works for most wigs?