Instructables creator PKM shows a step-by-step tutorial of how to make your own Japanese style shoji lamp with materials readily available in most homes, including affordable corrugated cardboard, plain white paper (though he mentions you can fancy it up with nicer sheets), and skewers or chopsticks for the frame. The results are an attractive mood lighting piece that costs less than $10 in materials...
Important warnings from PKM:
A few notes- the lamp is very light and not very strong, so don't put it somewhere it will get knocked around. With an 11W CFL it gives a soft glow that is ok to read by but won't light up a whole room brightly.
Running for an hour with the lid on, the paper on the lid was slightly warm to the touch and the sides were room temperature so it's probably safe to leave on for long periods, but if you are using an incandescent bulb I would suggest not using the lid.
The lamp is not at all fire safe- don't even think about using a naked flame or other combustion-based source of light in this rather than the lightbulb. Again I accept no responsibility for what you do outside the scope of these instructions.
Complete instructions and photos here.