You need to “train” or memorize the shape, in order for SMA (Shape Memory Alloy) to change its shape to what you like. There are many tutorials you can find, from heating up with blowtorch to using candles.

In this example, I am using Flexinol 0.001 LT from robotshop (http://www.robotshop.com/en/dynalloy-flexinol-010-lt-actuator-wire.html). Perhaps it differs on which SMA you are using, but here is what I know for this particular SMA.
You need to fix the SMA to the shape you want and heat it with 400 degrees for 8-10min in order for it to memorize the shape.

Step 1: Fix SMA into the shape you want

As you heat the SMA, it will move to the shape it was memorized for the last. When you buy them, it usually go to straight shape when you heat up. You will need to fix the SMA into the shape you want tightly with tools that are strong against the heat.
Here, I would like it to be trained to coil shape, so I am fixing it onto a metal screw using knot to fix the end tight.

Step 2: Heat it up to 400 degrees for 8-10min

It will be ideal to use kilim with temperature control, as they can go up to 500 degrees easily. As I do not have access to kilim, I am using heatgun, which you can set to 400 degrees. I am using metal helping hand to fix the screw on the heatgun. It will get very hot, so make sure you have your setup heat safe. After 4-5min, you probably want to turn it around so it is evenly exposed to the heat.

Step 3: Drop it quickly into cold water

After the heating is done, quickly dip it into cold water to cool it down rapidly.

Step 4: Take it out from the fixing tool and test

You can now take it out from the fix. It is not necessary but you can check if the training worked. I used hot water for a quick test. Just pour hot water in a bowl and drop your SMA. It will quickly turn into the shape.