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I have turned a few lamp shades and really enjoy the process. To me there is nothing more difficult than getting something super thin. On some woods it is a tightrope walk the whole way. I don't think you will have any issue with fire. There are a few things to take into consideration when turning a shade
1. grain- you want something without branches knots etc. The cleaner the grain the easier it will be to keep the shade uniform once it is done and the less likely you are to experience cracking.
2. Color- this is a big one. I know it seems like a no duh but darker woods like walnut are darn near impossible to get to a translucent state without exploding. Not saying it's impossible but it's pretty darn tough and if you pull it off the piece is incredibly fragile. Not sure where you live and what you have access to but the lighter you can go the better. Hackberry (my least favorite tree to look at) happens to be one of the best woods I have found so far for shades
3. Once you have established the outer form keep the wood wet. For me one of the biggest issues was that the wood begins to lose moisture from the outside and begins to warp and go out of round. Once this starts happening the outside needs to be trued so that when you approach the final thickness you don't plunge through in one area while hitting wood in another. Since you dont want that and you are already happy with the outside form keeping the wood good and soaked as you are turning really helps to keep the outside as true as possible. I stop the lathe every 15 minutes or so and wet it down. Wrappin it with syran wrap is another good method to keep in the moisture but wetting it down every once and a while works well for me
4. Work in small sections from the top (side closest to you) down towards the bottom. Once you approach the final thickness it's really hard to go back. I usually go in 1/2 inch to 1 inch increments as I go down the length of the piece. I make sure that the last section looks good and is uniform with the section before it. I do this because once the piece starts getting really thin it is going to start to flex and once this happens it's inadvisable to go back because you are probably going to rip through the wood. There are some ways to steady the wood but this way works for me
5. SUPER sharp tools and a good understanding of correct tool orientation to the wood. Not going to fly into too much detail here but when I am doing the final cuts sharpen my bowl gouge a TON. It pays massive dividends when all of my cuts are as clean as possible leaving litte to none torn out grain and tooling marks
6. If you have an air compressor the piece should be thin enough that you can literally blow all of the free water out of the wood Which will speed up the drying process and reduce the chance of severe warping. I then let the piece dry for several days and then begin to sand it by hand.

Know this was probably more info than you asked for but just thought I'd throw in a few things I do. Hope it helps, make sure and post some pics when you make one:) happy turnin,
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