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I have also had great success with stapling the velcro to a board screwed to the window frame. Makes cleaning a snap.
One mistake I made early on was not checking that the hem below the bar was deeper than the first fold. The folded edge of the fabric was hanging slightly below the edge of the blind when raised - it looked okay but the fabric fold was exposed to sunlight and quickly faded, leaving a stripe across the blind. Live and learn :-(
Grace
Having made a few Roman shades my advice would be to finish the top of the blind and sew on a strip of velcro (loop side) then staple the hook side to a piece of board mounted above the window (or for an inside mount - use the existing window frame. Many instructions just tell you to staple the fabric right to the cornice board, but if you do that they cannot be removed for cleaning.
Good Luck
There is a Roman Shade workshop that was featured on H&H TV and can be found on the H&H website in the sewing section of Workshops. Good luck!