Step 6: Holey Traffic Cone
First, I divided it with eight vertical lines and five horizontal ones. I used a felt tip marker and just did it freehand. The felt tip washes off easily. In the bottom quadrant, I punched forty full holes; the second tier, twenty; the third, ten; the fourth, five; and the top one, three or so. I say full holes because I pushed the soldering iron all the way through -- I also made shallower holes by just pressing the tip in a little. It's cone-shaped, so you can make a variety of diameters. This pattern is just a suggestion -- you could do anything, constellations, subway maps, whatever.
After the holes are done, use a pocket knife or a putty knife to scrape the little burrs off both the outside and the inside. This part sucks, but it looks a lot better after because those burrs are black and block a surprising amount of light. Finally, run over the whole thing with some fine-grit sandpaper to take the last fuzzies off.
Other patterns are possible; I made an earlier version of this lamp by Photoshopping an image of cornstalk into a halftone pattern, printing it out, tiling it onto the cone, and drilling through it as a stencil. If you want to drill, you have to stuff the inside of the cone with newspaper or similar because otherwise there's no back pressure, and the cone just bends, no matter how sharp the drill.