How can I hang a custom lamp from the ceiling by its cord?
First off you do not want to hang the light by the socket that you purchased. With the poke in holes for the wires this is NOT an acceptable mounting system for your lamp - heavy glass or not. 

Next note that the wire used to hang lamps is a special type that has strengthing cord built into the cable. 

The conventional hanging lamp fixture has a two piece socket assembly that has a top part that slides up on the cord. The cord is then knotted with a special electricians knot that puts equal tension in all the conductors and fibres in the cord. The ends of the wires then attach to the lower portion of the conventional socket via screw terminals. Finally the top and bottom parts of the socket firmly snap together to hide the knot inside. The hanging lamp assembly pulls against the knot to transfer the weight into the cord from the ceiling.