Soak them in water before bending them, then pin/clamp in position until dry. Then glue in place.

If the grain on the wood is wrong for bending (or the wood is very hard) you may need to "kerf" the inside of the bend. Kerfing is a series of cuts in the wood. The cuts should go about 1/2 way through the wood and be spaced about 1/16" apart. The spacing will be determined by how tight the bend is. The wider the bend, the wider the spacing. In any case, I would not exceed 1/8" for spacing. Try soaking them first.

Another option you may want to consider is to use several pieces of balsa/basswood laminated together. Fit and glue the first one, then fit, glue AND CLAMP any subsequent pieces to achieve the width/thickness desired. This works quite well if the bend radius is very tight or compound curves are involved.