Putting them in Earth orbit would allow for local variation, but would be much less efficient overall. Firstly because they would only be between the Earth and

Putting them in Earth orbit would allow for local variation, but would be much less efficient overall. Firstly because they would only be between the Earth and the sun for a very small fraction of their orbital period, and also because they would be so close to the earth they would only shade a relatively small multiple of the area of the satellites. This is why most proposals put the sun shade(s) in sun synchronous orbit between the earth and the sun. They would be a lot closer to the sun, and so intercept a lot more sunlight per area of satellite, and they would be blocking it all the time, or for as long as you wanted.