Ramona: Maybe these will help (...including a link from Queen Martha)
check this out: https://www.hometalk.com/7163328/painting-brass-lamps-stencil-lampshades
This video tutorial shows how to spray paint lampshades: https://m.youtube.com/watch?v=XyCGbOepvqQ
You could even paint them with chalk paint. This video tutorial shows how: https://www.youtube.com/watch?v=lD6gRHZGIlY
This is another video on how to spray paint lampshades: https://www.youtube.com/watch?v=H89N8wpjK28
Lots depends on what you are wanting the end result to be. I have use a whitewash method, painting the wash over the shade multiple times. the wash can be whatever color you choose and you keep washing until you have the darkness you want.