A lot depends on the size and structure of the lampshade.
Polymer clay is wondrous stuff, but it doesn't have tons of structural integrity, especially if you want a normal living-room sized lampshade that allows light to pass through. (Tiny votive candle holders maybe, as long as the flame cannot burn the clay. These are often clay covered glass holders, with the glass protecting the clay.)
I think you might like to start smaller to build some skills before you attempt a full lampshade -- it will take lots of clay and conditioning and tools to get something that would work on a regular lamp, and that seems more advanced to me. (What if you don't like working with the clay?)
But say you were either adventurous enough or advanced enough to do this. Here's my brainstorming on the idea -- nothing I have ever actually tried, by the way...
I would get a simple (not fancy) wire frame for a cloth lampshade and cut paper patterns that would fit the frame sections, and use them as patterns.
I would condition my clay VERY well, using a lot of translucent in the mix, both because it emits light better and because it has a little elasticity to improve the odds of this working.
I would roll out the clay using hand rollers or find/borrow/buy a "Dream Machine" to make very thin, even sheets -- no more than 2-3 mm thick. (Dream machines cost more than $900 -- see what I mean about tools? But regular pasta machines (also a serious investment, especially if motorized -- although sometimes found at thrift shops) are only 6-7 inches wide, and patching strips together will give thicker seams that will be darker when light passes through. You maybe could work that into the design, but...)
I'd lay the sheets of clay out on paper on a cookie sheet, trace the patterns for the lampshade segments (a tiny bit bigger, for trimming to a good fit later) onto the clay, then bake according to manufacturer's instructions for the brand of clay you buy -- NOT Sculpey!!! (It just won't work for this.)
I'd consider wrapping the wires of the lampshade frame with glued-on ribbon or seam binding or other decorative fabric covering to give the clay something extra to grip, but maybe this isn't necessary.
Then I would use a good adhesive, maybe 2-part epoxy, to attach alternating segments onto the frame. When dry, I'd trim off any scrap and fit in the rest of the pieces, and trim them.
Hopefully that gives you a pretty clear idea of steps *I* would take so you can figure out what you want to do. Use Premo, Fimo, or Kato clay -- I use Premo and ma less familiar with the "flexibility" of the other brands baked in thin sheets, but that's what you will need almost for sure, for a lamp shade.
Heat from light bulbs safe enough for a fabric shade won't do anything to the clay. You basically only get odor or fumes when you bake, and potentially hazardous fumes when you burn polymer clay -- so don't burn it! (It won't kill you, but it's not good for you or your pets.)