You can buy plain white ceramic lamps, take them apart, cover them and cure them, then re-assemble after you're done sanding and buffing/glazing the cured clay.

You can also make lampshade "fabric" from Liquid Sculpey on large sheets of glass. Cut to fit the framework of the shade and glue onto the frame. Make sure that the temperature at the closest point on the shade to the bulb doesn't exceed 300º - you might have to use very low wattage bulbs in order to do this, depending upon the size of the shade.

In the first issue of PolymerCAFE, Shirley Rufener wrote a beautiful tutorial for creating a polymer clay lamp with translucent clay and TLS. You can see a picture at the bottom of this page, but the issue is sold out, so you'll have to try eBay to get a copy of it.
http://polymercafe.com/single_issues.html

Good luck and have fun!

Elizabeth
Web Mistress & Discussion Board Host, PCE

Elizabeth, thanks for that picture of your friends lamp, what a great idea! I'm always looking for new projects to incorporate clay into home decor. this is going to be my next project for sure.

Banu, adorable figurines, good luck with your new venture.