Using felting needles
Felting needles have tiny barbs on them which when stabbed into the wool, push the scales of the wool together and that's how the magic happens. The more you stab the wool the more you felt it. When stabbing the wool you do not need to drive your needle through the surface you are felting on. It is only the barbs that do the work. The needles are very delicate so make sure to keep them straight at all times. If you try to scrape the felt or bend the needle there is a good chance it will snap. They may become blunt so if you find you are having difficulty felting your fibre then try a new needle.
Personally I work with a single needle but you can get multi needleholders. I find that if you do invest in one of those it is best to remove the needles it arrives with and replace with your own. You can remove needles and work with less than it holds. For instance working with 2 needles helps with straight lines if you need to make them.
If you do not have curly locks in a colour you need you can make them quite easily.
First take some long thin strands of wool. I found merino or corridale works well.
Wrap these strands around a knitting needle or kebab stick tightly. Then pour some boiling water over the wool. Be careful of your fingers.
Leave somewhere to dry. I just pop mine on top of the radiator out of reach of any pets though.
Once dry unwrap your wool and you have curls.