Place the glass lamp shade on a flat surface. Mark the location you'd like to drill with a permanent marker. The closer to the edge of the glass that you drill, the more likely the glass is to break.
Determine a way to keep the surface of the glass and the drill bit wet. Lubricant is necessary. Consider filling a milk jug with water, positioning it above the drilling area and punching a small hole in the bottom of the jug. The hole will allow a small stream of water to continuously pour over your drill bit. Also consider building a small reservoir around the drilling area with modelling clay and filling the reservoir with water.
Position the drill bit on the glass at a 15 degree angle. Start the drill and work slowly. Do not apply too much pressure to the drill. Allow the drill to work at its own pace, applying minimal pressure. Occasionally back the drill bit out of the hole to allow water into the hole. Continue drilling until the hole is complete.