Instead I decided the shade would look good as a table lamp (I did something else for my floor lamp - see here). Since I made this I've found that it does look quite a bit like an actual andon! (Like a cross between this, this and this, say)
Step 1: Making the panels
I had way more chopsticks than I can ever use, including 20-odd cheap square bamboo ones, and they seemed like an easy way to make the frames (in my local Asian supermarket you can get a pack of 20 of these for under 2 euros). I sanded off the pattern that was stamped on, and cut down 8 of them to the width of each sheet of paper. (Ideally I would have split them in half lengthwise but couldn't think how to do this easily)
Then I applied a very thin layer of wood glue along one side of the chopsticks and stuck them to the paper, lining up the outside edge of the chopstick with the outside edge of the paper. You can see how I laid them out in the photo. (Sorry, I didn't think of taking photos while I was making the panels, but I think the photo of one side of the completed shade gives a good idea.) Weigh it all down with some books or something and let the glue dry. You'll want to make 4 of these panels. If necessary you can trim the paper by cutting along the back side of the chopstick with a sharp knife and peeling off the extra.
Glue along the sides of each the front and back panels, on the back of the paper, and fit the 4 panels together to make a cube - well, one without a top or bottom (see diagram for how I fit them together). This was the hardest bit, because I had to support it while the glue dried, but the paper is quite delicate so I couldn't put much pressure on the sides! A pile of books on each side should do it. Just try to line them up closely and make it as square as possible! (Mine was a bit off..)