hey girl. i'm exactly the same way.
don't worry about it, i'm here to help(:
i've been wearing makeup for a while, and i've learned all the do's and don't's for my skin/face. your skin/face IS different, i promise. because everyone is different. also, i can wear heavy makeup because i'm just a type of person who looks best in full coverage. most redheads look best without full coverage.
so because most likely it'd look bad if you put on globs and globs of makeup, go light in all the eyebrow/lash/liner colors. anything that would be dark on a non-redhead, needs to be lighter.
ie. instead of using black eyeliner or mascara, use brown.
what i do to fill in my eyebrows is get a small angle brush, (here is one from MAC. MAC brushes are expensive, so you don't have to get this one. this is just for the size you'd want. http://www.maccosmetics.com/product/spp.tmpl?CATEGORY_ID=CAT145&PRODUCT_ID=289 )
and with this angle brush, get a brown eyeshadow. be very picky when it comes to coloring. don't get one with even a slight hint of purple or anything in it, because it will be noticeable when you fill in your brows. choose a medium-colored brown. not too dark, not too light. put it on the angle brush and VERY LIGHTLY take long strokes of the brush to your eyebrow. follow the natural shape of your eyebrow. I tell you to start VERY VERY LIGHTLY because if at first it is too light, you can add more layers of shadow to it. on a weekend, you might want to play around with how dark or light you would want this color to be. you can never really go too extremely light with the color, because redheads naturally have very light eyebrows/lashes. the key here is to make it look as natural as possible, without it looking bad. you want it to be noticeable, but not like BAM! LOOK AT MY EYEBROWS! you want it to look like a natural part of your face.

please know, however, that i've been doing this for a few years so i've gotten pretty good at it. it takes a while to get used to doing, and it won't be perfect at first, which is why i suggest playing around with it on the weekends or when you don't have anything to do that day. practice makes perfect!
as for the eyes, pick a brown color as well. there isn't as much detail with this, because it's not as hard as filling in eyebrows. just pick a color that won't look too dark. probably at first, you shouldn't use eyeliner. i mean, if you want to see how it looks, of course, like i said, play around with it. in fact, one day if you're doing absolutely nothing, try putting your makeup on very very heavy, and you'll see how bad it looks when you just cake on the makeup. you want it to look light and natural
The REASON why you should fill in your eyebrows, is because it will make it look more natural when you wear mascara. it just matches better.
as for the dark circles, there are several reasons why you have these:
it could be because you don't get enough sleep, spend too much time on the computer/watching tv, and other reasons.
if it is none of those, it could just be because we're redheads. i don't have dark circles, but i know other redheads that do.
i think there are some cremes and stuff that reduce dark circles under your eyes. if you can't find any that are a reasonable price, there's not much you can do about it except try to get even more sleep than you are, and just try to reduce any possible factors that are causing it.
and finally, to hide them, i don't think there is any way they can be completely hidden without it looking weird. so just get some concealer like you are doing, and maybe put some finishing powder over it.
sorry this was so long, but i hope it helped! (:
redheads FTW! <3