There is a number of ways to create curved walls.
1. Buy 6mm thick bendable plasterboard and double them to achieve the standard 12.5mm thickens. You can bend these thiner boards to a certain radius. It will be double the cost but its a good way for a large radius.
2. Use the Flexiboard which is a slotted plasterboard. These are standard Knauf or British Gypsum boards and I think they are slotted by Vcut. We buy them at NDI builders merchants or from CCF. Yes there is the board cost but that stands agains the installation speed and this is where the actual cost are.
3. Do what was suggested before and spray a board with water or let it go damp and then bend it. This method can work but the issue is you are actually doing something that is not recommended at all, making plasterboard wet. You'll see it in the finish later.
We have used all 3 methods above to build curved walls or curved ceiling bulkheads and I would recommend 1 and 2. I would not recommend solution 3 because moist plasterboard is a no no. Also don't use wood or MDF.