I french braided my (slightly damp hair) into two sections before I went to bed. The trick to "no frizz" is to make sure that your hair is super moisturized before braiding. My waves stayed in for three days!!! See my favorite products that I use below.
Start at the bangs, and braid all the way to the ends.
The braids are super comfortable to sleep in.
I used tiny elastics at the bottom of each braid and they stayed in all night.
When I removed the braids in the morning, my hair was soft and had perfect waves. I just slightly fingered through my hair, sprayed with hairspray, and I was done :-)