Wet set pin-curls, when done properly, are by far the most persistent curl you can get: you can brush them out forcefully to create a smooth surface, but the curls won't budge until they get wet when you next wash your hair (rain should be avoided like the plague). The best information on how to do pin curls can be found in Lauren Rennells' book "Vintage Hairstyling", but there are loads of good tutorials on youtube - click here for one of them.
A word of warning: If you're a perfectionist like myself, making a full head of pin curls take time! It also takes practice, if you're planning it for a special occasion. In addition to creating the pin curls, they need about a whole day's time to dry completely! I would recommend doing the set in the evening so that you can sleep with it, and then put a nice flowery head-scarf on for the following day. A lot of time can be saved if you have a trusty friend who can do the set for you, as it's a lot easier to do it on someone else than on yourself.
For this particular hairdo I rolled all the pin curls in the same direction. Once dry, I brushed them out against my hand, pulled one side back with a side comb and hairsprayed like mad. Different styles can be achieved by alternating the direction, pivot point and tightness of the curl.
I used some makeup tips from Lauren Rennells' other book "Retro Makeup" to achieve a 40's look, and this blog tutorial to do the nails.
* I took the picture when I got home from the ball so it was all a bit slicker when I was fresh off the dressing table ;)