I made mine years ago...used the rigid foam insulation from Home Depot/Lowe's/etc. It is as thick as I could get so it is over 1" I used the T pins that you can get in the Home Dec. dept at JoAnn's to hold the batting in place and bamboo sticks to hold the end pieces....
I also used my glue gun, but was afraid to use it on the foam core for fear it might melt. Just smooth the fabric and secure with the T pins.
I left the old curtain rod on the windows and use those to support the cornice. Also have a L bracket holding it up.