First, get a clean spray bottle (clean as in never exposed to chemicals, not ammonia-fresh clean). Fill it up with warm (not hot) water and a drop of glycerin if you'd like; the glycerin helps remove oil deposits on feathers. Remember, the dispersal of the water will cool it dramatically. Make sure it's early enough in the day for your bird to have time to dry off, and then take him/her to a nice, warm, draft-free place; spray away. If you want to spray later in the day, you can use a blow-dryer to dry the bird out; actually, they seem to like the attention (just don't fry him/her).

Another option is taking your cockatiel into the shower avec toi; just make sure to observe the same precautions, and don't leave the bird alone in the bathroom alone, a dangerous place.