They used an old-timey curling iron for Nellie’s hair
Before electricity, to hot curl one’s hair, she would heat up an iron made for curling over a flame. It was great fun for burning the scalp, burning hair, and general discomfort in the name of vanity. Why would a person engage in this sort of torture is anyone’s guess. Authenticity? Perhaps the showrunners wanted to make Arngrim irritable so she’d play a more irritating character? Who knows?