Trace the outline of your lampshade onto some baking paper and cut it out, use the existing shade as a pattern or use some compasses to draw it.
Baking paper is used for easier "unsticking" further on, you can try other sorts of nonstick stock.
Arrange dried leaves on the shade you just cut leaving spaces for the tissue paper to hold on. Make sure they are really dry, to avoid chlorophyll stains later...
You can also use magazine or other paper figures if you don't have dried leaves!
On top of the leaves, arrange tissue or toilet paper sheets and apply some diluted glue with gentle brush taps (you might tear the tissue otherwise). It's important the surface you work on is also nonstick (I worked on a formica table).
Wait for it to semi dry, then remove from the work surface and cut off the excess material, leaving some marging on top and bottom to stick to the wire structure.
Glue the margins to the structure and the union on the back, let it dry completely and your shade is ready to use!