Depends on the kind of curls you want.
Thick hair, can sometimes be too heavy and pull the curls down and drag them out.
I reccommend a process of using a styling wand, a GOOD one, and getting a friend to actually do it.
GHD straightners are great! If you don't have a curling wand, you can do it with a flat iron too, and there's even a video on you tube which demonstrates as such - http://www.youtube.com/watch?v=ffu1bmjga...
Use the process of curl, hold for RECCOMMENDED time based on your curling wand, spray with ample, good quality hairspray or finishing / setting spray, and gently unwind. I reccommend Andrew Collinge, or Motionless Spray by Physique.
If you want curls all the time, consider a perm.
Bare in mind, you'll loose at least 4 inches of length if you curl your hair, and you may find it appears alot shorter as a result.
Don't brush it either, it'll frizz like mad.
And I'd highly reccommend AGAINST using a perm-at-home kit. It can kill your hair, and leave disastrous results.