I made a lot of the curtains when we moved up here. I've lined them with blackout lining, mainly because of the long daylight in the summer. It was really easy to line them though. When I was looking where to buy I noticed that most linings seem to be a couple of centimetres narrower than the curtain fabric.
So I just pinned it inside the seam and sewed up the sides and hem. If you do it by this method just remember to make the lining shorter to accommodate the hem and top, or you get a really bulky area.
They hang really nicely and block out a lot of noise as well as light - when we get high winds and rain it often comes straight at the windows. My first winter here, before I made the curtains, I had to move into the back of the house when the noise got unbearable (getting the windows double-glazed helped a bit too though

). And they most definitely keep the room warmer in winter.