Jen = I too live in a Grade II listed property but have, so far had no real issues (other than spending a fortune). I was lucky in that Mr Alexander, the DDC Conservation Officer, was incredibly sympathetic to and supportive of my proposed improvements,
Regarding double glazing - the options are either secondary double glazing (problematic and often ugly), replacement double glazed timber sashes (expensive and heavy) or getting nylon brush draught and sound insulation added to the existing sashes (cost effective and roughly 80% of the effectiveness of double glazing).
For the latter try
http://www.victoriansash.co.uk/ 01304 617129, or
http://www.box-sash-windows.co.uk/ or
http://www.london-boxsashwindows.co.uk/