Blow up a large balloon, and tie it off.
Tear a newspaper into 6-inch strips.
Combine 3/4-cup of white glue and 1/4-cup of water in a mixing bowl to form papier-mâché paste.
Dip strips of newspaper into the paste, and then smooth them onto the balloon. Leave the area around the balloon's nozzle uncovered.
Continue adding papier-mâché strips until you have created a shell that is four layers thick.
Allow the papier-mâché to dry.
Pop the balloon with a pin, and then cut a hole in the bottom that is large enough to fit over the lamp.
Drill a hole in the top of the shell large enough to easily fit it onto the lamp's bolt.
Drill 1/16-inch holes in the upper half of the shell in whatever star patterns that you want.
Paint the shell with black spray paint on the inside and outside. Allow the paint to dry, and then poke a pin through each hole to clear any paint clogs.
Remove the lamp's shade, and replace it with the papier-mâché shell. Turn on the light, and spin the shell to create moving stars on the ceiling.