Get a tubular lamp shade that flares or expands slightly at the bottom. This shape is necessary for a true calla lily lampshade. Use a narrow tubular shade if you can't find the proper shape.
Study a picture of a calla lily and lamps inspired by the flower. Note that the blossom frills out slightly at the petal's edges and may flare out slightly, but stays relatively closed and overlapped.
Draw "s" and "u" curves at the bottom of your lampshade to mark where to cut out the lily petals. Vary the depth of the curves slightly as well as the width for a natural look.
Cut the curves out of the shade. Make any adjusting cuts for detail.
Gently bend the lampshade if it doesn't frill or extend outward, using your hands. Malleability depends on the shade material. Bend the edges slightly outward so the petals flip out just a bit.
Paint the shade your desired color. Calla lilies are commonly white or yellow, through they come in a range of hues. Use a lighter or translucent glaze so the light will still shine through.