In certain example embodiments of this invention, there is provided a method of making a window, the method including: forming a multi-layered low-E and/or solar control coating on a glass substrate; providing at least two flexible protective sheets in non-liquid form to the glass substrate over at least part of the low-E and/or solar control coating; applying at least one protective coating in liquid form, before and/or after the flexible protective sheets are provided, so as to reduce one or more gaps formed between the low-E and/or solar control coating and the flexible protective sheet(s) and/or between the flexible protective sheets; and performing one or more of cutting, edge seaming, and/or washing the coated article with the protective coating and protective sheets thereon and peeling the protective sheets and at least part of the protective coating off of the top surface of the low-E and/or solar control coating. Heat treatment (e.g., thermal tempering) may then be performed, and the heat treated coated article may be used in a window unit or the like.