Sometimes I get questions about what to do with naturally very curly hair. Some people get it chemically relaxed so it's easier to traditionally work with, some use water to un-curl and re-curl in the desired way, and some just work with what they have.
These girls are great examples of not needing to change the texture of your hair for a vintage style. Angelique Noir has a few video tutorials on how to achieve a 1940s look. Also check out The Retro Natural for lots of inspiration and tutorials, she covers a range of deco to mid century styles.
If anyone else knows of or has a blog, video, etc. specifically for working with naturally curly hair, please send it my way! I'll post it here for everyone to reference.