How can I Bevel this sphere correctly? I'm modeling this lamp, and when I try to make that curve, with the edge selected in the image at its center, the bevel doesn't limit itself within the other two edges at both sides, it extends as I show in the last image. Is there other easy way in wich I can do this?
Update to the answer below
I see actually that it has 12 sides, so create 36 segments not 24, and change your edge selections accordingly and the 'Auto Smooth' value

I'm pretty new to Blender and I had a quick go at this using a feature I learned about today &quot;Auto Smooth&quot;.
Looking at the lampshade, it looks like it has 6 sides, so I created the UV sphere and before doing anything else at all, set the number of segments to 24. Please ignore the origin point as it's not important.

Then, I chose every 4th vertical edge using Alt+Left-Click for the first and Shift+Alt+Left-Click for each subsequent one.

Then using S and then Shift+Z so that only the x and y axes are scaled, I scaled those edges inwards toward the centre of the sphere.

Then I deselected them and selected each edge that was next to the edges I had just scaled:

And scaled them again using S and Shift+Z

OK. Getting close now. Go back to Object Mode and it still doesn't look quite right.

If I Right-Click on the sphere, and choose 'Shade-Smooth', that's no good because it smooths ALL the edges and you want to keep 6 of them sharp still. Leave the sphere smoothed at this point even though it looks wrong
I found out about Auto-Smooth and this might be what you're looking for.
Click on the Object Data tab - I'm using 2.90a, but if you're using 2.83, I think its in the same place...

Then click on the 'Normals' section and check the box next to 'Auto-Smooth' and I found that setting the angle value to 15.3 seems to produce what I suspect you want.