When I measure the length of my lining I add length (I think 2cm) for each channel and mark it with chalk. I then fold along the lines, put my presser foot on the edge of each folded line with the needle in the far left position and sew, gives you a nice straight channel for the rods.
Then I sandwich the interlining between my fabrics and turn over the top layer on three sides before stitching by hand (which sounds worse than it is).
To attach the velcro I sew what will be the top of it on with the machine, right side up, fold it over so it is on the wrong side and then stitch the bottom edge to the lining by hand. This hides the cut edge which is under the velcro.
I hang it and pin it every foot or so just below the rods, take it off and do single tiny invisible stitches where my pins are.
The Merrick & Day curtain encyclopaedia is brilliant for guidance.
I wouldn't sew through the layers, the chance of it hanging properly are slim, honestly I hand sew everything and it looks fantastic, the only stitching to be seen is the rod pockets on the lining.