Measure the circumference of the shaft leading up to the bulb, and look for books (with quality binding) of approximately this thickness.
Find the middle of one of the books and lay it open. Take the upper corner of the left-hand page and fold it inward to the spine. Repeat with right-hand page to create an arrow-shape. Continue with all the rest of the pages.
Trace the folded page onto the inside front and back covers.
Use a table saw (or strong scissors) to cut away the parts of the cover that are sticking out.
Create the other forms, varying the folding as you like (and dotting with glue for security); roll the pages inward as teardrops or cut half circles.
Wrap book around shaft and glue the covers together. Clamp with clothespins while drying. Add a book base, if desired, a bulb, and a shade (paint a plain shade for a custom color).