Before we get started, you will need:
You don't need the same light that I have, I just happened to have this on hand. The techniques can apply to any type of light. The light that I have is round, can lay flat and is battery operated. Instead of gutting the unit, I decided I would make a sort of sculptural lamp shade with a housing that holds the light as its base. You could omit the housing part that I make for the light (the little inward feet) and make only a plain shade that you can place over a small candle or LED light.
I've also uploaded the generic versions of this design as .STL files to Thingiverse