Although Elsa's looks to be made of metal, you could try something the same technique with a thick fabric lampshade. Similar to tracing out an elaborate pattern for a jack o lantern, using a nail or a pin, you can make a lampshade have any pattern you want (you can even write something out). Photocopy the pattern you like and tape it to the inside of your shade and then get to work punching holes. Depending on the size of hole you want, you may have to use a hammer and nail or a small hole punch.
Image via mocoloco.