I asked my wife to sew me up a bag for the windows on my '97 TJ. She used old quilting materials to make a tough bag with individual flanel pockets for each window.
If sewing isn't in the picture, Bestop makes a couple versions of bags, though I don't know how well they would roll up. I always just left mine laying in the back. A bungee cord to hold them down on the floor is a real good idea, too. Don't ask how I figured that out.