Scarlet bought us a 10' x 10' gazebo for the patio. It replaced our patio umbrella, and is nicer in that it's bigger, anchored down (and so, permanent), and has mosquito netting that can be zipped shut, if desired.
As for that "permanent" part of the equation, the disclaimers on the packaging actually don't imply that at all. They warn against leaving it up during extreme weather, and it comes with 6" long spikes that are intended to be driven into the ground. Well, we want to set ours up on our concrete patio, so we decided to permanently affix it with concrete anchors.
So, I've learned a thing or two having done it now.
The basic procedure is that you use a hammer drill to drill a hole in the concrete, then you hammer the bolt in and then put whatever it is you're attaching over the bolt and then tighten the nut hard so that you pull the expansion wedge through the sleeve to lock the bolt in permanently. If you ever change your mind, your only option is to cut the bolt off flush with the surface of the concrete.
So the first bit of advice I've learned is that before you start bashing away at the head of the bolt with a hammer, thread a couple of the nuts on and lock them together. This will protect the threads from the hammer and insure that you'll have no trouble threading the nuts on later. This is particularly important if you need to bash on the side of the bolts to 'adjust' them a little to line up with whatever you're trying to attach. I wound up having to cut the top 1/8 of an inch off one of the bolts with a hacksaw to get past the bit I damaged a little too much. And some of the other bolts were a little hard to thread.
Another bit of advice was that if you happen to drive one a little bit too far, don't worry too much - they are designed to pull back out a little bit as you're tightening them. Just thread the washer and nut on without the thing you're attaching and tighten. You'll get maybe 3/16 or 1/4 inch that way, which hopefully will be enough to let you thread the nut on properly with the attached object back in place.
Lastly, if you're using these things with a tensioned load, you'll want to periodically check to make sure they're still tight, since a varying tension load (like the wind acting on our gazebo) may make them pull out slightly as they wedge themselves in harder. I'll be visiting them periodically to make sure they're tight for the first few months at least.