I recently have figured out how to do a Veronica Lake wave to my hair. Sorry, my camera is old and decrepit or I would post a pic.
First, do a side part. Curl the ends of your hair under all the way around with a 1 and 1/4 inch curling iron. Then take a section of hair, closest to the front, across the top above your forehead, and slide the curling iron, so the curl will be under, up to the scalp and wrap around the curling iron once. Next, flip the curling iron over, slide it down, and wrap the hair around once. Repeat this procedure until you are just above the under curl at the bottom. Do this only in the front, on either side of the face, so the wave is one consistent
wave in front framing your face.