I used to do this a lot but havent' it a while. It does work though. After shampoo/conditioner and before roller setting, I'd section the hair, dab some Ultra Sheen Creme-Pres (in the yellow jar) on the ends only, wrap the ends in foil and press a flatiron on it for only a second or two. (The "sizzle" you hear is only the steam from the heat on wet hair. To prevent damage, don't press for more than a couple of seconds.) After it cools, you remove the foil and roller set or wrap or whatever and it really does seal the moisture into your ends.
I'm a fanatic about my ends, almost obsessed with healthy, regularly trimmed ends and this method keeps the ends moisturized without feeling heavy. Now that I've been reminded, I'll start doing this again.