Cones are available on eBay for cheap, but the shipping can be a bit much. Orphan cones are a dime a dozen in cities, but often too dirty and messed up to use. Please don't steal them from active job sites, because they are safety equipment for someone. Other good places to check are auto salvage yards and the county/municipal dump, because that's where the local government takes their bulk waste.
My cone is 28" tall and 14-3/4" square at the base, and weighed about eight pounds before the lamp parts were added. They come in all different sizes, and you could even make a desktop one out a of a little tiny cone. I used a 75-watt equivalent compact fluorescent. A brighter fixture could eliminate the need for the holes. Do not use conventional bulbs; they get hot enough to damage/burn/melt the cone if there's nowhere for the heat to escape.
For sale at: http://www.etsy.com/view_listing.php?listing_id=14777951
I apologize if some of the pictures are a little blurry, it's very dark in my basement.
Step 1: Base Plate
I measured a 14-3/4" square on some scrap 1/2" OSB and cut it out with a circular saw. OSB isn't an ideal material, but it was free. It is hard to cut and prone to bad chipping. MDF or plywood would work just as well. I found the center and traced a circle from an ice cream tub, then drilled holes along concentric rings, using smaller drill bits as I worked out to the edge. Make sure the middle hole is big enough to pass the plug through. Punch four corner holes for the threaded rods.
The last picture shows the underside of the board, post-holes. OSB is awfully chippy, but you'll get the same problem with regular plywood, to a lesser extent. Just peel them up and sand, seal/paint onto them, make the rough side inside the lamp to hide it.
I put two coats of polyurethane on it, but stain, paint, or seal as you desire.