Shades come in many different materials, textures, and designs. Shades made of glass or metal can be dusted and cleaned just like any other solid surface, using a dusting tool and common household cleaners and cloths. Be sure to unplug the lamp before using any liquids if you’re cleaning the shade in place.

 

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Cloth shades, particularly textured designs, are a bit more challenging.  The best approach is to use a vacuum cleaner with a brush attachment. Work gently to avoid grinding dust into the fabric. Avoid using any liquids, which will likely soak into the fabric and make the shades look worse than dirty. Likewise, standard dusting can drive soil into the fabric.

 

For spot cleaning cloth shades, test first in an inconspicuous place, and apply a cleaner to the spill in harmony with its base. This is really the key — attack the base or main substance of the stain. Use the least potent cleaner that will remove the spill. For example, for innocuous spills, apply a gentle cleaning solution — 1/4 teaspoon (1.25 ml) of a liquid dish detergent per one cup (240 ml) of lukewarm water — and blot. Don't flood it but work carefully from the outside of the spill toward center. By working to center, you tend to contain the spot to one area rather than spreading it. Get up as much as possible with a clean white cloth. Be careful not to rub the surface which tends to damage the fibers, but focus on blotting.
 

Reference:

Don Aslett in The Cleaning Encyclopedia: Your A to Z Illustrated Guide to Cleaning Like the Pros .