Use straws instead of pens! they're bendy, so you can tie them down more easily than pens, and they come in quite a variety of thickness. That, or something like foam rollers. I'd stay away from heat, and just water+condition the hair, comb it out, rinse and roll it up. If you're looking for corcscrew curls that is. For a big, soft curl, I like wrapping the hair around the pony's neck or leg instead ^^