If you're on a budget look into 2" Faux blinds by Hunter Douglas or Timber Blind.

Blinds.com may also be able to help you at a more affordable price.

We also have heat ducts below some of the drapes. There is a plastic hood you can put over the duct which will help direct the air under the drape and into the room. One still insisted on poofing out so I sewed fishing weights into the hem.

I have decided on cellular shades. Think I will go with the up/down cordless ones. Haven't decided on a color yet.

cellular shades sound like they would definitely meet all of your needs. You are looking for a little bit of insulation and there so many varieties that you would have no problem finding something that is light filtering. do be careful of those heating vents, hopefully they are forced hot air. I once had drapes that almost caught fire touching the electric baseboard heating below them. the hem had come loose and was touching the baseboard. could have been a disaster.