Get a socket with a threaded collar at the bulb and screw the shade onto that.

Most come with a swivel joint to aim the lamp, but need a through hole to secure them to the lamp arm.

Ah... like the ones at the link below? Once you know what to look for...

I think I've seen some shades that might fit that, with sort of a recessed ring fitting, but I didn't think they had a thread.

Thanks, Brickeeye.

Karin L

Here is a link that might be useful: Antique lamp supply threaded socket

That would be them.

You do have to be careful about using the lamp shade to try and adjust the angle of the socket though.

The shallow short threads and large lever arm can make the threaded portion pop of the thin metal of the socket.