Here is a list of materials needed:
A form for your lamp base ( I used a Highway Cone for this one)
Maximizer Concrete Mix or whatever your local store carries
Clear packing tape
A container or two for mixing concrete
Implement for mixing (a hoe or small spade works great)
Rubber gloves (if you're messy)
Mineral Oil, Non-stick cooking spray, baby oil, etc. to aide in removing the form
Lamp Wiring Kit (or scavenge parts from an old lamp)
Lamp Shade (I used a small $2 trash can purchased at Target)
A thrift shop is a great place to go shopping for this project. The local Goodwill Store had several lamps that would have been great for parts ($2 each) and all sorts of glass and plastic vases that could be used for forms (under $2). You can use a glass vessel for a form, but they call for tools and techniques that will not be covered in this Instructable. They work great when the shape is one that wouldn't ordinarily allow you to slide the mold off. With a glass form, after your cement has hardened, you can carefully break the glass in order to de-mold the piece.
Another money saving tip for those on a budget, is to inquire about damaged bags of concrete mix at your local home improvement store. They are notorious for getting torn and spilling. You don't need a full bag for this project and you might just get a damaged bag for the bargain price of free ninety free!.