it might also be neat to starch the yarn, then laquer it, maybe?
Oooh, starching it would be cool. You could even blow up a large balloon and wrap starch-soaked yarn around it in a squiggly way, overlapping the yarn a lot. Let it dry, pop the balloon, cut away part of the bottom and add the hardware scavenged from an old lampshade somehow. Then you would have a yarn balloon lampshade! The top doesn't need to be open like a normal lampshade, because there are holes already there to let light out. Me and my too-big yarn stash (and my old, ugly lamp) are liking this idea more and more.