I would 'core spin' with it I think.
I hasten to add I am very bad at it but I watched it done to great effect at Woolfest with just this, coloured curly wool. I think it's shown on The Gentle Art of Plying DVD but also there's some info about it in the Spin Control book.
To describe, as you are plying, you 'add' the curls holding them at right angles to the yarn and allowing them to 'catch' at intervals between the two plies.