I must credit the inspiration for this to my mother-in-law, who grew up on a hog farm in Iowa. She frequently re-uses items from the farm, and asked if I could help her make something similar to this pulley lamp.

This is not an overly difficult project - It can easily be done in a day once you have the right tools and parts. Most of the parts are available locally, though I did have to order some hardware and the vintage wire online. Tools are simple and if you're missing any, they should be easily obtainable locally.

Step 1: Parts

Parts used for this project:

An old hanging pulley. Since this was provided for me, I'm not going to be much help in finding one if you don't already have one. If anyone has suggestions for where to find such a thing, please leave a comment!
Vintage-style cloth-covered twisted pair wire. Please note: DO NOT use actual vintage cloth-insulated wire! There's a reason we don't use it any more - It breaks down over time, leading to short circuits and fire hazards. There are plenty of sources for modern wire that is vinyl-insulated and then covered with cloth. I used 13 feet of Brown Cotton Twisted Wire from Vintage Wire and Supply. When measuring how much wire you'll need, be sure to leave a couple of feet extra to go around the pulley, and at least one extra foot for wiring the lamp socket.
A plug. If you're in the US, I would recommend the Vintage Style Round Plug from the same supplier as above.
A cage. You could build one similar to the picture, or obtain one. For this project, we used the Patriot Lighting Black Hexagon Cage purchased at our local Menards.
A socket. Most now are brass, but since this will be exposed and not hidden behind a shade, I didn't want something that would take away from the vintage look. This bronze socket from Home Depot did the trick nicely.
Nipples. I used a 1" long one for the lamp itself and a 1.5" one to sacrifice for painting the coupling, both from this set from Home Depot.
Coupling. Again, you only need one, but they're sold in pairs at Home Depot. You could also use a nut here, but I found the coupling useful for holding things while assembling, and it was easier to put together than the small nuts that are normally used on the nipples.
Fender Washers. These, unfortunately, I couldn't find in the right size locally. You'll need three of them, all with an inner diameter of 3/8". One should have an outer diameter of 1 5/8" and the other two should have an outer diameter of 2" or 2 1/8". I bought mine from Bolt Depot.
Vintage Style Light Bulb. Luckily, these have become somewhat trendy recently, so you can buy them both in truly old-looking incandescent varieties as well as LEDs that are excellent reproductions. I found this Philips vintage LED bulb at Home Depot.
Depending on how you want to hold the light up, either a hook of some sort to wrap the wire around or some glue to prevent the pulley from turning and bond the wire to the pulley.
Optional: An old barn board to mount everything to prior to putting it on the wall.

Step 2: Tools and Supplies

Tools:

Utility knife or other means of cleanly cutting the cloth covering on the wires.
Wire cutter
Wire stripper
Small Phillips screwdriver

Supplies:

Oil-rubbed Bronze spray paint. Home Depot had this in my local store.
Shop Towels, paper towels, old newspapers, etc. for painting on.

Step 3: Prepare Unfinished Hardware

We're going to be assembling a "fender washer Oreo" to secure everything to the cage. To keep the unfinished washers and coupling from taking away from the vintage look, we'll want to paint them.

The single small fender washer won't be visible when we're done. However, the two larger fender washers are going to have their outer edges and one surface visible - We need to make the cookie part of the Oreo chocolate. ;)

The coupling will also be visible, so we'll paint it as well. However, we need to prevent paint from getting on the threads inside it. To prevent this, I sacrificed a 1.5" nipple from the assortment we bought. Be sure to keep the coupling right at the end of a nipple so that you can get it off once the paint is dry.

Now, use the Oil-Rubbed Bronze spray paint as directed on the can. Ensure that you spray from several directions so that you get the entirety of the outer edges of the washers coated.

Note: You may wish to paint the cage the same oil-rubbed bronze color. I did not - The black looks pretty good too. This one is completely up to the maker's preference.

Step 4: Prepare Wire and Assemble Plug

Open the plug using the screwdriver. Insert the wire into and through the plug assembly.

Use the knife to cut just the cloth off the outer part of one end of the wire about 1" from the end, then strip the wire with the stripper. Twist the strands, then bend the bare part of the wire so it'll fit around the screws (you can curl it around the screwdriver if that helps).

Tighten the screws on the wires and reassemble the plug.

Step 5: Pre-assembly Layout

On the end of the wire opposite the plug, slide the parts over the wire in this order (as shown in the picture):

Painted coupling.
One of the larger painted fender washers, with the unpainted side facing the end of the wire
1" Nipple
Cage
Unpainted smaller Fender washer
The other painted fender washer, this time with the painted side facing the end of the wire
Top of the lamp socket

Step 6: Wire Lamp Socket

First, tie an Underwriter's Knot near the end of the wire. This knot was specifically designed for this exact purpose, to keep lamps and their cords from coming apart. It cannot be pulled through the nipple. Leave yourself a little bit of working room, maybe 2-3 inches of wire past the knot.

Prepare this end of the wire as you did the plug end - Remove cloth, strip insulation, twist wire, bend wires, and screw them into the terminals of the lamp socket. Assemble the socket. Be sure the cardboard insert remains inside to insulate the metal outer shell of the socket from the wiring.

Step 7: Lamp Assembly

Now, it's time to assemble all the pieces that are along the wire.

First, screw the nipple into the top of the lamp socket. You want it to go in at least 5/16" so that none of the nipple is visible above the coupling later on. Tighten the set screw from the lamp socket to prevent the nipple from being able to unscrew.

Next, assemble the "fender washer Oreo" around the top ring of the cage. The middle (unpainted) washer should fit exactly into the ring, and the painted washers will hold it there. I recommend using one hand to hold the lamp socket/nipple assembly, then put the bottom painted and middle unpainted washers onto the nipple, fit that into the cage top ring, and then use your other hand to push the top painted washer down onto the nipple and twist the coupling on until it's tight and holds the entire assembly together.

At this point, the nipple should be fully enclosed within the coupling, washers and lamp, and the unpainted washer should be sandwiched between the painted washers and its outer diameter hidden by the top ring of the cage.

When you're finished, you should have a nice rigid assembly resembling the picture.

Step 8: Final Assembly

Wrap the cord around the pulley.

If you're mounting using a hook, mount the hook and the pulley assembly. Raise the lamp to the desired height and tie the wire around the hook. You can use the optional barn board for this, and then mount the board to a wall. (This is the author's recommended mounting method.)

Alternatively, if you're planning to freeze the pulley instead of using a hook mount, insert glue where appropriate to keep the pulley from turning, make sure you wrap the cord around the pulley at least three times, and use some glue to bond the wire to the pulley as well. I did not test this method, caveat maker, use at your own risk, etc.