The one I used had wide velcro that hooked the two together.  Also have seen them where there is a piece of heavy fabric about 3-4" wide, sewn together to form a tube.  Stitch down center of tube, so the pvc slips into each side. There are two of these on each side of unit (near the top and bottom). 
The units then accordion fold, so the entire stage is the width/heighth of one unit for storage.  If you add a second tier, it comes off and folds.  I think I have diagrams of this somewhere, just need to find.

Another thought for the curtain and wind problem.  Put fishing weights in the hem of the curtain.
If your curtains were very stretchy this could be a problem. Sliding a piece of PVC in the hem would help hold it down.

Sewing velcro to the bottom of the curtains and gluing it to the bottom rail of puppet stage would take care of this, or make the stage so the curtain would slide on top and bottom (the one I referenced above the curtain stays on, on a larger stage you could make the hem large enough for the lower piece of PVC to slide through). 

Hope that makes sense. LOL