I've heard about many people making successful sconces using rice paper. If you're worried about it being a fire hazard, maybe you could put some chicken wire to mold a large enough covering, keeping the paper far enough away from the lightbulb.
Here's an article to get you started:http://www.diynet.com/diy/ll_shades/article/0,2041,DIY_14050_2273027,00.html
Oh, and if you're looking for amazing decorative papers, check out Michael's scrapbooking aisle. You can buy pads of beautiful paper (choose brights, blues and greens, reds and yellows, neutrals, etc.) that may be perfect for this project.