I warmed mine in hot water then put them in a book as you would a bookmark with the needles sticking out and they did striaghten quite a bit. Get them into the book before they cool off.
I also suggest storing them hanging rather than curled up. I hang mine over a hook so the weight of the needles + gravity over time helps them stay straight.
Silver had a suggestion in another topic about circular needles. Dunk the cables in boiling water for a few seconds and then stretch them (gently) while you run them under cold water. Worked like a charm for me.