Various How-to's on making Paper Lanterns

Some of these might come in handy with creating the structures for the shades.

http://www.instructables.com/id/Star-Lantern/#intro

http://missielizzie-meandmyshadow.blogspot.co.uk/2011/02/year-of-rabbit-make-chinese-lantern.html

http://snapguide.com/guides/make-a-cute-lantern/

http://www.wikihow.com/Make-Sky-Lanterns