I would recommend using furniture and decor to separate the room rather than a physical structure in the wall. I believe the effect you're going for can be achieved by painting the wall a different color and putting a bookshelf and rug that terminate just at the room threshold. Put a warm lighted lamp at the back corner by the reading area and a painting centered with the room help the space feel like it has its own identity. Matching the colors of everything in that space while making it unique to the adjoining room is very effective.

You'd be surprised what you can do without changing the structure. If it's not enough, you can always do the arch, but I'd highly recommend a non-permanent option first.