You were all headed in the right direction. This is a hair curler, and you do wind your hair on it.
You stick a bobby pin in the holes in the end, slip a lock of hair under the blade, and wind it onto the rod. When you are done, you lift the blade a bit and slide the hair off the rod and onto the bobby pin.
Depending on how you wanted to look, this made great Frances Langford pompadours, or Shirley Temple ringlets. My grandmother used to put my hair into ringlets when I was too young to fight back. I probably looked like I just got off the boat!
It works better with human hair, but since I couldn’t figure out how to hold the camera in one hand and the curler in the other, Felicity had to stand in. At least she stands still and doesn’t wiggle.
thisendoftheswamp 
Felicity is a good model to let you do that and show us!
I foresee lots of trouble if I would try to use that! Not like the time when I tried to use one of those curling irons that had brushes attached that resulted in the horrific odor of burning hair and a large bald spot from cutting my head free.
I’d wondered what it was. The only time I’ve ever tried to curl my hair was in the seventies and tried to use curling tongs. I ended up looking very silly.