Here's a video tutorial of how to make lamps out of just about anything: https://www.youtube.com/watch?v=FbSFtoKhxIE
I've made lamps out of some very interesting objects. But never a musical. A lit will depend on the instrument. But, check the lighting dept at your local hard wear orhome improvement store for lamp conversion kits, shades, decorative wood pieces for bases
When I read your question I had an immediate vision of a violin and now made into a table lamp and as I write this a second vision of a cello made into a floor lamp. The hard part will be the mechanics of base and support, and the type of instrument..
It's simple but here is s pic of one of my conversions.
You can buy lamp kits on amazon or at hardware stores like home depot. You might need to drill holes in the instruments for the cord. Cool idea!