I usually make a fabric cylinder larger than the bottom of the shade(the size depends on how gathered I want it), make fold-over casings in the top and bottom of the cylinder(leave opening for elastic), run elastic through the casings, stitching the ends together. Hope this helps.

Well I've done it! Thanks, noinwi. Followed your directions and it didn't come out half bad, even if I do say so myself.

Cathyll and Noinwi, that sounds very interesting. I think I will try it. Cathyll, is there any chance you could post a picture in the gallery, or a link to one?

Oops, just found the other post with the links. But I would like to see your finished shade if possible :)