You have a couple of choices. If you want to convert to grommets, you could look into the kit, though I have never done this, and suspect it might be a bit pricey. You CAN buy a header stiffener in the drapery section of Joann's or a similar store, and I would think you would definately want to use it. A couple of other options: You could buy clip on rings. There is a small clip on the bottom of the ring, which clips to the top of the panel. Then the ring goes over the rod. Probably want to clip a ring every 4 inches or so along the top of each panel. If you want to hang them on rings,but don't want the look of the clips, here is an easy solution. Go to Joann's or some place similar and buy rings which have little metal eyelet-screws at the bottom of them. Unscrew each little eyelet-screw from the ring, and you will stitch it onto the back of the drapery, by hand, probably every four inches or so. You will stitch around the eyelet part. The stem end will be sticking straight up. Where the stem meets the eyelet -that part should be right a the top border of the panel. When you have stitched them all on, simply screw the rings on to all the eyelets and then hang the rings from the rod.

Think about hotel rooms. They so often have a room-width black-out curtain ... and behind it a thin sheer ... and usually some type of non-moveable header (either cloth or wood) ... and they pull open so nicely. While staying in a hotel a year or so ago, I decided that's exactly what I want, so I took a good look at the hardware involved. Hotels have ceiling mounted tracks. Something like this: This ceiling-mounted curtain track can be supported every 2-3 feet, eliminating any possibility of sagging rods as years go by. You can cut them to fit your dimensions, and they're even available in around-the-corner styles. The negatives, of course, are that you'll need floor-to-ceiling curtains, and you'll probably have to do some sewing adjustments to the curtains yourself. Still, I'm going to do this in my bedroom, where I expect to open/close the drapes frequently. I wouldn't do it in, say, the dining room, where I'm going to use plantation shutters and curtains that'll essentially never move.

Oh I hadn't thought of that. That is definitely another good option! So why do you suggest an outside mount instead of inside mount? I guess one thing to mention is that the top of the window sill sits about 2-2.5' from the ceiling, and I would be hanging the curtains high. So when they get tied back during the day, you would see a bit of the wall above the window. Which I'm fine with. I suppose an outside mount could be more visually appealing because I could hang it high enough to hide the wall and give the illusion of taller windows. But, I just wonder if the shade contraption (I don't know much about shades) would protrude from the wall and interfere with the curtain (again, I suppose I could just ensure my curtain rod leaves enough clearance from the wall).

I just replaced my vertical binds on a patio door with a double rod, sheer curtain in the back and blackout curtain in the front; I don't have an alcove like you, just the door frame. I got grommets on both, but I am thinking I will try to find another sheer w/ a rod pocket or something because the blackout curtain catches on the tops of the sheer, and I have to hold the sheer in place when opening the blackout curtain. My rod does sag a little because I couldn't use the middle support bracket, but it's not really noticeable. Fortunately the curtains are not very heavy; they are rather inexpensive ones I bought on walmart.com actually :), placeholders until I find something better. I would have hunted up a ceiling mount rod if I had room to fit it in the door frame, but I don't. Mine's wall mounted just like the blinds were. I went with the sheer and blackout so we have light and enough privacy during the day but can close the blackout if it gets really hot and/or need more privacy and when we go home (this is at a vacation home).