the bigger issue is making sure you have a proper wire frame thingy so the paper doesn't catch fire.

After doing some research, I found the answer to my own question. Rice paper is less flammable - therefore it is the best type of paper to use for making lamp shades. Also, it is important you use a low wattage bulb. Most fires happen as a result of a bulb that gets too hot. For a little tutorial... http://www.diynetwork.com/diy/ll_shades/article/0,2041,DIY_14050_2273027,00.html

http://www.katespaperie.com/store/productView305-E0000226.php