• some thin PVC tubes;
• a bunch of old newspapers, or plain / colored paper;
• gardening scissors;
Although many people have argued that paper, especially newspaper, can easily catch fire from a lamp, it is rarely when an ordinary lamp (not an industrial one!) emits such a strong light that is able to fire up cellulose. So, the choice is up to you. You can either work with plain tubes or decorate them in the suggested method.
This implies rolling the newspaper in a tubular shape using a big sheet folded in half for a sturdier structure. A desk lamp of medium size entails about a hundred of these tubes. Glue the ends shut. Cover the tubes using the color paper you want. You could also paint them; use wall paint because spray paint won’t last as long. With the gardening scissors, remove the ends of each tube. Now, stick the tubes together with glue. Here is where your creativity comes into play. Stack the tubes one over each other in a manner it resembles a nest; you will have to constantly move around the shape to give it a nice look in the end. Place over (or work around an offline lamp the whole time) the lamp and you are done.