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There are different approaches to this for different hair types. If your hair is damaged, oily, or limp, wash and condition it with something designed to create volume. If your hair is thick or not particularly oily, do not wash it before curling. Simply apply a dry shampoo to your roots. If your hair usually has trouble holding a curl, skip washing it for a day or two before curling. This should help make your hair more malleable. Using less conditioner, or none at all, may also help. Again, this will be different for different hair types. If your hair is damaged, oily, or limp, spray it with a heat protectant from root to ends while it is still damp. Apply a strong-hold mousse liberallyyou can do this at the roots to achieve a fuller look, or from mid-shaft to ends for a looser one. Blow dry upside-down until your hair is totally dry. If your hair is thick or not particularly oily, spray it from roots to ends with heat protectant, and work a liberal amount of strong-hold mousse through your whole head. You may not be able to afford lots of specialized hair products, especially if you don't curl your hair often, or you may be curling your hair on short notice and not have time to run out to the store. These recommended products will help your hair keep its curl and protect it from heat damage, but you can still achieve a beautiful curl without them. That said, it is highly recommended that at a minimum you have hair spray, and something to help protect your hair from heat (especially if you plan on curling it regularly). There are many shampoos that help with the latter, in addition to all the heat protectant sprays on the market.
Wash and condition your hair. Apply product. Fret not if you do not have all the products suggested.