I had an old quart of glossy red paint on hand that was the perfect color (Man, I wish Home Depot still carried that Ralph Lauren paint line! Those colors were so pretty!). So, the trick to painting lampshades? Either water the paint down, or better yet, thin it down with paint conditioner. I've used this brand with great luck.
But the real trick to painting lampshades (or furniture, or really anything with a brush) is to load the brush with a consistant amount of paint every time, lay the paint down smoothly the first time and then resist every temptation to go back over what you have done! Just let it dry. Once it's fully cured in a couple hours, you can lightly sand the whole shade and give it a second coat to cover up any imperfections in the first layer.
Don't forget to paint the inside rims, but I like to stop where the fabric hem rolls in. Leave the inside white or black (or line it!). You can paint paper shades too, but I wouldn't water your paint down in that case- use the conditioner or just straight paint. I've painted a couple different types of shades and most of the time it works great, but it should go without saying I wouldn't mess with a really lovely expensive shade. Reserve this project for those approaching-nasty yellowing shades that so often come with lovely vintage lamps!
PS The Homies are out again! (They always sneak up on me, so thanks to those of you who nominated and voted for me already in both the Best DIY blog and Best Home Design categories - I'm not holding my breath, but I am super flattered. xox) I love the Homies because they make it so easy to find really great, new-to-me blogs! It's risky business though, finding a new blog that fits you so well you just can't go to bed until you've read through to their very first post! :) Dare I click through the list before the weekend?!