You've probably searched through this thread: http://www.thefedoralounge.com/showt...torials-thread
As for myself, I still an amateur at setting my hair, so for the first few tries, I read the instructions from the various threads/tutorials or for a specific look in Lynn Rennell's Vintage Hairstyles, which is my main inspiration. Also, I ask my stylist to do it so I can see what she does. She usually gives me tips and tricks as she works.
I nearly always do a wet set but I follow the same pattern when I use a curling iron. I am currently pin curling the front with foam rollers at the back. I split my hair into thirds vertically then work off base curls down from the crown of my head.
The best thing to do is experiment and figure out what works for you.