Wiring a home made lamp
First problem: you'll need to pick a thicker wire.  The NEC specifies a minimum of 18AWG for fixture wire in 402.6:


  402.6 Minimum Size. Fixture wires shall not be smaller
  than 18 AWG.


Second problem: you'll need a reliable way of making connections.  Instead of soldering (solder splices in free air are finicky beasts), I would recommend box-style pressure terminals (made by Wago and others).  They are highly reliable (probably the best DIY multi-way connection option available) and UL listed for use in general household wiring, so they won't give an AHJ heartburn.  They also are listed to terminate 10-18AWG solid or stranded wire, so they can be used with fixture wire, no matter what you get.

Next, you'll need a fuseholder that's rated for your application.  I'd recommend an Eaton (Cooper Bussmann) HLR or a Littelfuse LHR type -- these are practically made-for-purpose for fusing fixtures, and are UL recognized as well.  They also are panel-mountable to somewhere on the fixture, allowing convenient, touch-safe access to the fuse.

Finally, as to terminating the fixture wires, what I'd do is use a multi-way Wago box to terminate it to a single 18AWG that can go to your fuse holder (in fact, the fuse holders I mention above accept solid 18AWG leadwires, and can be obtained pre-terminated with them), then bring an 18AWG hot and neutral to the box.  As to the earth? I'd simply provide a 10-32 tapped hole on the fixture base dedicated for a ground screw -- that way, premade ground pigtails can be used.