Let's start with the lamp base. 
Make sure the box you are using is tall enough, and seal the bottom well with tape. Remove the light bulb and pack it separately in newsprint or packing paper.  Wrap the cord around the lamp base, do not tape it because it may damage the paint or outer coating of the lamp. Instead, tuck the end of the cord inside the wrapped cord. Next, set out a long piece of bubble wrap and place the lamp on its side in the middle of the wrap. Roll the lamp on its side and tape it. The entire lamp base should be completely covered with bubble wrap. Place the lamp in the carton face down. If you have several lamps to wrap, you can pack the bases in the same carton. As you pack, fill the empty spaces with wadded paper so the items don’t shift during the move. Close and seal the box and mark it “Fragile.” 

Now it’s time to pack the lamp shade.

Use a sturdy carton at least two inches bigger all around than the largest shade.  Line it with clean paper, using crushed paper under the lamp shade to create a protective layer, but don't put crushed paper around the sides of the shade. Hold the shade by its wire rim and place the shade in the box. Try to avoid touching the sides of the shade. Then spread several pieces of clean packing paper neatly over the shade. A smaller shade may be nested inside a larger one, provided they do not touch. Only one silk shade should be placed in a carton to avoid stretching the silk.  Do not pack other items with shades, and never wrap lamp shades in newspaper, as the ink will soil the shade. Label cartons “Lamp Shades- Fragile- Top Load Only.”

It is best to have your moving professional crate large leaded or other glass lamp shades.