Dust your sheepskin shade at least once a week with a feather duster to keep it free of light dirt and debris.
Check the recommendations set by the manufacturer. Some sheepskin shades shouldn't be used with bulbs more than 100 watts, for example, because the sheepskin may be damaged.
Oil your sheepskin lampshade periodically with vegetable-based oil so that it doesn't dry out, split or crack. You can do this once a month if your shade didn't come with the manufacturer's recommendations on oiling.
Make sure your sheepskin shade is away from a window with direct sunlight.