This Instructable has two methods of construction and assembly. You may either build your lamp shade by hand or if you have access to one, use a laser cutter. Whichever method you choose, the materials remain relatively the same.
For the lamp shades we used to two materials commonly used by the photo industry to diffuse light without risking fire:
Rosco Cinegel #3000 - Tough Rolux : reduces overall glare by diffusing the harsh direct light into a glow.
Rosco Cinegel #3403 - Rosco N.6 : for the front most panels reducing the glow (by 2 stops on a camera)
Both materials are available from B&H
in sheets or very long rolls. Unless your making a huge amount of these we recommend you just get a sheet of each.