i've made all kinds of lampshades, from scratch and from old parts of cast offs. if this is your very first time, i would suggest buying just the part that supports the shade (whether clip on bulb, or held in place with screw kind), and then making the rest with wire. you can make that part yourself, but for me its been tricky everytime. i use 18 ga. galvanized steel wire, because its what i have here in the house. the last one i made was a hanging triangular fabric shape, and i twisted two wires together for strength.
for paper you'll want a fairly sturdy structure that wont torque as you apply the paper. and i think hot glue would be a good way to attach the paper to the frame unless it is *very* transparent, then you might use a decorative stitch around the edges?
just some thoughts. :)