Take a look at www.warmcompany.com. They give you instructions on how to make Roman shades and they are specifically made to help keep the house warmer. The national chain fabric stores carry the Warm Windows products. Also, M'Fay patterns has a good Roman shade pattern (www.mfay.com). They make workroom grade patterns.

i know 2 people who recently made their own roman shades. they said it was a terrible experience and waaaaaay too much work. but hey, maybe you'll be different.

You'll need a thick material if you want your shades to help keep the place warm.  Shades by themselves aren't the best solution and thin ones will just "blow" in the wind as drafts seep in.  The idea of fusing material to the back of cheaper shades is a good one.  One thing we've done to warm up a window is to buy a cheap spring loaded extension rod for curtains, and put a single panel curtain behind some shades we got on clearance at pier 1.  Since the rod is spring loaded, you won't have to use any screws to mount it and you can change the panel at any time, so you can have a different one for every season.

Great idea!  I'm going to go there today!  Thanks!

I'm not sure how to make them, but I know that Ikea sells cheap, cheap, cheap Roman shades. They're very thin, so they probably wouldn't address the heating issue, but you may want to purchase one and use it as a model.