Know what look you're going for and be sure to measure the size of the barrel before buying a wand! Remember, the bigger the barrel the looser the curl.
For short(er) hair lengths, using a reverse wand which will help you achieve tight waves rather than tight curls. Here is Nume's version of the reverse wand!
Start curling each piece of hair further up/closer to your scalp for overall added volume
On either side of your face, curl each piece away from your face! So on the right side of your face, curl toward the right and on the left side of your face, curl each piece to the left. This is the most important thing to remember when curling your hair in my opinion!
If you have thin hair, choose a curling wand (or any heat related hair product in general even) that has a custom temperature feature. Your hair will curl faster the thinner your hair is, so this is important to prevent burning your hair.
Use a protective heat resistant glove when curling your hair - especially with a curling wand! I can't tell you how many times I've burned my fingers on my wands. Also - if you have gel polish and just got your nails done, you'll definitely want a glove like this... I've had my gel polish start to melt from the heat! Not fun!
When using a smaller barreled wand, (like my Conair one which is 3/4") run through the curl before applying hair spray/mousse with your fingers for a more natural look that won't destroy the curls
Bigger curls tend to make your face look slimmer - I'm not sure why, but it definitely works!