Hi
What I did is this. Lay down a newpaper or put two flyers tog. Lay your lampshade on the paper and trace the shade.Use craft interfacing. you can glue on trimings at the top or bottom.
http://www.ehow.com/how_14331_cover-lamp-shade.html
http://www.alternative-windows.com/tiffany-lampshade.htm

hi
Go to www.embroiderylibraryprojects.com
Left hand side click on Home Decor
Click on page 6
Lampshade cover.
You can omit the embroidery if you don't do that. Use printed fabric.
I use craft iron on interfacing, it gave the fabric more body. Use glue stick if don't have glue gun. Trim the top and bottom with trimming. Match the top of the trim to the top or bottom of shade.

hi
This is a good one. Shows you how I did it.
with pics.
http://www.sew-whats-new.com/projects/lamp/

hi
just do
www.sew-whats-new.com/projects/lamp/

I learned how to make fabric covered soft lampshades (the kind with a lining, Victorian shades, etc.) the way professionals do it from an excellent e-book available at shadecrafters.com. It turned out to be a whole lot easier than I thought it would be.