Options to fly from Rome to Sicily?

Note that Milan has 3 airports:
Malpensa (MXP) intercontinental and low cost (Easyjet) flights
Linate (LIN) City airport (European flights only)
Bergamo (BGY) Low cost flights with Ryanair.

These are the options:

From FCO to Sicily (either CTA or PMO): Alitalia, Ryanair, Vueling
From Sicily (either CTA or PMO) to Milan: Alitalia (LIN), EasyJet (MXP), Ryanair (BGY)

Now my two cents.
Based on your post I presume that you are flying from Chicago O'Hare (ORD) to Frankfurt, Germany (FRA), not Frankfort which is in Kentucky, with Lufthansa (which is a partner of United with the Star Alliance) and then proceeding to Rome FCO still with Lufthansa. From Rome then you plan to fly immediately to Sicily.

A better plan would have been to fly Lufthansa from ORD to Munich, Germany (MUC), still with Lufthansa, and then catch a flight from MUC directly to Sicily, since Lufthansa flies from MUC to both CTA and PMO.

Your return trip could have been from Milan (LIN or MXP) to ORD via FRA with Lufthansa.
In that case you would have needed to buy only one ticket, from Sicily to Milan (Easyjet or Ryanair would have been the cheapest option).

Thanks for the reply. I should have mentioned we used United miles for a free ticket and when exploring options, did not see an option, with the number of miles we had available to use, to fly directly to Sicily. I understand we have added a complication and my question is if we wait to buy a ticket from Rome to Sicily when we are in Frankfurt (thanks for the correction, spell check!!!!) or Rome, just in case our flight is delayed, is it likely we can get a reasonable ticket last minute?

A few years back we flew from Rome to Palermo. Used Lufthana's low cost Air One. Our frequent flyer miles took us from Denver - Frankfurt-Rome, but I am pretty sure we ended up buying a ticket to do Rome-Palermo.

When we traveled, we had luggage, our bike cases, and 2 carry ons. We had to recheck the bike cases. I think we allowed 3 hours between flights. I booked our flight prior to leaving the US and had our tickets and seats arranged.

Not sure how flights are in Europe. I didn't want to take the chance of not getting seats on a flight.

This year we went from Milan to the island of Sardinia and back to Milan. I also booked those flights from the US. I used 2 different airlines. (RyanAir and Alitalia) In Milan we had to go from Malpensa to Linante to catch the "regional" fight. Everything worked out fine...just took more time with a bus trip between airports and the check in security lines...

I'd tell you that 2 hours for layover in Frankfurt might not be enough time to go buy a ticket. By the time you deplane, get to passport control, and then your next gate, the flight could already be boarding.. With what has happened in Egypt, you may encounter security lines longer than normal from here on out.

Ellen's option is no longer available. Air One merged with Alitalia and ceased flying under its own brand in 2014.

The first thing you should do is check with United and see if you can change your frequent flier award ticket and make it from ORD to PMO (via MUC) instead of to FCO. There might be a penalty to pay, but if the penalty is under $100, I think it's worth it, because a flight from Rome to Sicily won't cost a lot less once you add the baggage fees.

If you are unable to make that change, look into buying a ticket with Vueling, which I much prefer to Ryanair. Alitalia is likely to be the most expensive.

You should make sure you have a lot of hours of layover in Rome, so choose a flight departing from Rome as late as possible. Since you will be traveling with two separate tickets, you will need to retrieve your luggage at the carousel in Rome, then walk to the check-in counter and check your luggage again with Vueling. If there is a delay and you miss the flight, you will likely have to pay a penalty, if not buy a whole new ticket.

I would not buy the ticket on the spot in Rome or even at FRA on the same day. That is likely to be extremely expensive, assuming they even have seats available. You can buy online ahead of time. Both Ryanair and Vueling are low cost airlines and their prices are reasonable. Both are very strict with the carry on. They allow only one piece and it must fit the required size. It is cheaper to pay for the checked luggage online rather than paying later.

If you can rebook your award ticket to Sicily, that's definitely the best option. But you may not be able to.

I had a similar situation (my miles would take me from Philadelphia to Rome, but not to or from Sicily). I found that last minute flights to Sicily could skyrocket on certain days, like Monday when we were traveling. So, since I was on separate tickets and would not be "protected" if my arriving flight was late, what I did was buy two advance tickets - one three hours after my scheduled arrival, and one ten hours after arrival. This way, I knew I'd use one and discard one, and just looked at the combined price as the cost of the trip. In the end I made the three hour connection with plenty of time to spare, but of course it could just as easily not have worked.

I flew Alitalia, and found that it wasn't any more expensive once I included checked bag fees on "budget" carriers (Alitalia allows one checked bag for free). If you want to investigate, use Alitalia's International website, which has an English option, but shows the same prices as their Italian website with no English option. Either the International or the Italian website will show lower prices for these domestic flights than the Alitalia US website.

For your flight from Sicily to Milan, you definitely want to book in advance - there's no advantage to waiting.

Book as soon as you can - the cheap fares can start disappearing early on these routes. My friend got a fare that I was unable to get two days later, and we were both booking six months ahead! Again, two advance purchase fares can still be much cheaper than a last minute ticket.

Thanks everyone for the excellent advice. Buying the two tickets sounds like a great idea too since some of the fares are amazingly inexpensive. Planning a vacation is so much fun and almost makes me feel like my I'm on vacation the entire time I am planning !!