You'll Need:
A thrifted lampshade. Find one that has a good wire structure and remove the shade.
Vintage Doilies. You can find these at the thrift store or the Dollar Tree sells them also.
Scissors
Needle & Thread (mine's thrifted!)

Start at the top and fold a doily over the wire. Stitch in place. You might want to use clothespins or pins to hold each doily as you fit them over each other and then stitch to secure.

So easy! I LUUUUVVVV mine!