Sorry I didn't reply sooner. I was kind of embarrassed that I hadn't finished it yet, and also wasn't really happy with the initial "finishing" efforts I had made! But I will explain, and maybe you can benefit from my blunders!
First, I used Caron Simply Soft Plum Wine yarn. Nothing fancy, but came out really nice. I really enjoyed knitting all the pieces, and of course, like most knitters, didn't enjoy the finishing part nearly as much. (Actually, that's why I like to do afghans -- they usually don't require any sewing together at the end! But a friend saw the picture and requested this one, so ...) I tried to block all the pieces to the same size by pinning them down and then spraying them with water until they were wet. I let them dry, took them up, and found they were still stretchy and flexible (partly just the characteristics of this yarn, I think), and still curled a little on some of the sides. I actually did this several times, but it didn't really seem to make much difference. Then I looked up kitchener stitch online, but everything I could find was for joining stitches head-to-head or head-to-side. This project required joining side-to-side. I've done mattress stitch for side-to-side before, but that's when both pieces have the same number of stitches. Well, I was in a hurry to complete it, so I did mattress stitch anyway, and just skipped stitches once in a while on the longer piece. I felt kinda guilty the whole time, thinking that this was "wrong," but I did it anyway. It actually looked nice joining the 3 middle pieces together. (They're closer to the same length, too.) I joined one of the outer panels that way, too, and it looked okay. Then I ran out of time, and had to put it on hold for a while. When I came back to it, I found some info about back stitch. I decided that's probably what I should have used, at least for the 2 outside pieces. I used that to put on the last outside piece, and it doesn't look that much different from the one where I used mattress stitch, but I think it was a little easier for me (even though it's not very "knitterly.") Right around the end of all of this, I was looking at the directions again (duh), and it actually says, "Hold wrong side of one Panel C facing wrong side of one Panel B; sew panels together." I looked very closely at the picture again, and it looks like maybe you're actually supposed to see a seam sticking up on the right side of the afghan. Oh well, that's not how I did it, and all in all, I'm happy with mine. Just have to do the fringe now.
I guess if I had it to do again, I'd connect the 3 middle panels with mattress stitch, like I did, and connect the outer 2 panels with backstitch. OR I would knit the C panels (the outer ones) with less rows (closer to the length of the other panels), and then sew them on with mattress stitch, too. I did consider trying to knit the whole thing in one piece, but I think that would have been way too complicated (although I'm sure there are some knitting geniuses out there who could do it!)
Good luck! Hope it goes well!