I have done it, I have been pleased with the result, and its expensive.

I found the place online because the local guy who did it was very eccentric and would start the conversation "I don't think I can help you, and it will be very expensive, so even if I give you an estimate you will think its too much, and go somewhere else" This as you are walking in the door, which he kept locked. Very strange.

Shipping is expensive also because if the shades don't "nest" they each have to go in a separate box that is Very Sturdy and much bigger than the shade itself.

I had two rather large drum shades made for a client and with shipping they were something like $180 each because they each needed to be shipped separately. Sometimes it is well worth the money--we couldn't find anything else suitable. I would do it more often if I could afford it.

Here is a link that might be useful: The Lampshade Shop

How custom do you want them? I recently ordered 2 custom black paper shades from Fenchel because I couldn't find the size I needed locally. Great quality, great prices. Packing not so great, though customer service has been wonderful. I'm on my 3rd order to try to get 2 undamaged shades, but I think it's because they're paper.
Dee