I love the way that glassine looks when exposed to light. It comes in many colors and is pretty cheap.

How bright is your bulb and what kind is it? Are you going to build the light cover as a stand alone or to slip it over the glass dome? Some bulbs will benefit more with more diffusion than others. Still, I would not underestimate just how much dimmer regular paper can make a light.

There are kits with similar ideas out there already.

If you want to make it yourself out of paper, I would strongly recommend cheating. Use paste or tape or maybe even a wire support structure. This is especially important when you consider the shape of your lampshade. You will need a way to attach it to your lamp. Many traditional modular modals stay together based on a combination of friction and locks, and work best when the tension of the paper is evenly distributed. Glassine in particular is very slippery. If you start with a spherical model and have to leave a space for the entry point of the bulb or have to keep the model pulled apart slightly, it will be much less stable. Something like PHiZZ units might be a good place to start, but you probably won't get opaque coverage with them. I'm sure other will be able to give you recommendations.

Paper can also react in different ways when constantly exposed to light and go more brittle or change color. You probably don't want to accidentally bump your lamp and have it fall apart into pieces, you know?