Roller Wraps (aka "doobies" or "wet sets" or "roller sets") are where freshly washed hair is set while wet with magnetic rollers and either air dried or hood dried. After hair is completely dried, rollers are removed and hair is "wrapped" around head.
For those new to rollersetting, I always suggest first getting it done professionally and then watch how the stylist work and the tools used, also ask questions. This is how I learned 5 years ago, I told the stylist that I wanted to try rollersetting at home and she was very nice and gave me some directions and suggestions. Even so, it took me the first 3 or 4 trys to really get the hang of it. Also, I found that I could not use the small clips like they my stylist used where 2 small clips used to anchor each roller. I got myself the large metal clips, called "duck bills" (can be purchased any BSS or drugstore, just look for the package that says "duck bill") and I can do my rollers nice and snug and anchor them really tight and easily with the duckbills (one duckbill to each roller) -- I didn't really start getting my sets right until I got those duckbills. The key is to keep doing it, practice definately . .
Welcome and hope this helps!