I have never made lined curtains. However, I would do it like this: cut the fleece a little smaller than the curtains, depending on how big your hems will be. Then pin or spray baste the fleece to the curtains and when you hem the curtains, the hem will cover the edges of the lining. I would use 1/2" or 1" hem on the sides and probably 3" on the bottom. At the top, are you doing a casing, tabs, or using clips? Whatever way you do it, you can catch the lining in the casing or hem.