For greater efficiency, use dual shades—highly reflective (white) on one side and heat absorbing (dark) on the other side—that can be reversed with the seasons. The reflective side should always face the warmest side: outward during the cooling season and inward during the heating season. They need to be drawn all day to be effective.
Quilted roller shades, and some types of Roman shades, feature several layers of fiber batting and sealed edges. These shades act as both insulation and air barrier. They control air infiltration more effectively than other soft window treatments.
Several manufacturers have designed two- or three-cell pleated or honeycomb shades with dead air spaces, which increase their insulating value. These shades, however, provide only slight control of air infiltration. You need to caulk and weatherstrip around windows to reduce air leakage.