How can I create a custom lamp shade frame?
What materials you use depends on the design of the lamp shade you want to make – is it a hanging ceiling lamp, a desk lamp, etc. How sturdy the frame needs to be depends on what material it is supposed to support (paper, wood, glass, plastic, etc.)  For example, if you are making a paper lamp shade, then the coat hanger wire should be fine (like in those paper lantern lamp shades). If it needs to support glass or other heavy material, then you may need stronger wire, or whatever you can make a sturdier frame out of. 

(I’ve made a hanging lamp shade out of just skewer sticks and paper, so again, it all depends on what design you have in mind.)