My new favorite lampshade covering is Tyvek.
It's not exactly fireproof, but Tyvek doesn't melt until it reaches 275˚F. So unless you wrap a halogen bulb in it, lamp shades are probably okay.
I never use anything higher than 60 watt bulbs because when a body has 6+ lamps in a room, the wattage of each must be dailed down. Most lamp dimmers are only rated for 60 watts, and dim lights make everyone appear sexier, anyway.
Tyvek, sans printing can be purchased at many art supply stores.
Buy some and play with it. Cutting and sewing are cinchy, and it looks as good crumpled as it does ironed.
It can be even be colored with alcohol markers.
More to come...