I style and dye my own hair, and it's taken a lot of practice and frustration at times to 'get it right'.
People often ask me how to achieve vintage styles, but the biggest tip I can give is PRACTICE PRACTICE PRACTICE! You're gonna have good days, you're gonna have bad days. You're gonna have days where you think your style looks awesome yet when you walk out of your bedroom your roommates laugh at you. Don't let it stop you! You are also going to have to invest in some hair products (hair spray, leave in conditioner, setting lotions) and tools (bobby pins, pin curl clips, wave clamps, rollers, curling irons). I like to experiment with new styles while watching TV. Some times I get an awesome style and am never able to recreate it, but a new style blossoms out of it. I have my everyday styles that are quick, easy, simple and I could do with my eyes closed then I have my styles that are more elaborate.
If you want to begin trying your hand at vintage styles here are some wonderful links!
Vintage Hair Livejournal Community; A great place to ask for advice, browse photos and find more helpful links.
Beauty Is A Thing of The Past: Many helpful scans from vintage beauty magazine including setting patterns.
Look for tutorials on Youtube., there are several!

If you want to play it safe, go to a hair dresser or a beauty school, the students are trained in pin curls and waves and often are cheaper then hair dressers. Bing photos of the style you want!