First you need to wrap the shade in burlap. Cut it a little wider than the width of the shade so you can fold the ends into the center and hot glue. Glue the burlap in place, pull it tight around the shade and glue down the other end. Next, take the ends and hot glue them to the inside of the shade.
If you only want a burlap shade, you are done. But if you want ruffles, then continue on. Cut the remaining burlap into strips. I cut mine about 1.5 inches wide. You are going to fold the burlap in half so cut the strips to double the size of the ruffles you want.
Fold the burlap strips into half, long-ways. Place some hot glue onto the shade in a wave pattern going vertically up the shade. Then pinch your burlap strip at the top and place the fold along the hot glue wave trail. Hold into place for a few seconds. (I tried putting the hot glue along the fold of the burlap and created a mess - as seen in the above picture. It was easier to hot glue the shade and pinch the burlap together.) If the strip is longer than the shade, snip off the extra burlap even with the shade.
Continue gluing the burlap strips onto the lamp until it is covered. Don't make it perfect though. Make the waves go different ways so it isn't uniform. You will have holes where there are no wave strips. That is okay. Squirt some hot glue into the hole and then use a folded strip to fill the hole in.
You can see towards the top where I filled in some holes with extra burlap. And I still need to fill in the holes towards the bottom of the picture. That's it. You are now the proud owner of a ruffle burlap shade. It only took me about an hour