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Not only will this make your stained glass lamp look more authentic, but it will be easier to paint as well. Purchase a lamp shade with 4 or more panels set into a metal frame. Vintage lamp shades work especially well here. How you do this depends on the type of lamp you have. In most cases, you will have to remove the lamp shade from the fixture first, then pop the glass panels out. Take the frame outside or into a well-ventilated area. Set it down onto a sheet of newspaper, then give it 1 to 2 coats of black spray paint. Let the paint dry 15 to 20 minutes between coats of paint. Spray paint formulated for metal will work the best. If you can't find any, spray the frame with primer first. Let it dry, then apply your desired spray paint. Wash the panels with warm, soapy water first. Rinse them with plain water, then dry them off with a towel. Wipe them down with rubbing alcohol when you are done. This will remove any residue and oils that may keep the paint from sticking. From now on, try to handle the glass by the edges as much as possible, otherwise you might get oil onto it. Place each panel onto a sheet of paper, then trace around it with a pen or pencil. Lift the panels away, then draw your design inside the panel. Make sure that all of the lines connect, just like in real stained glass. You don't have to invent the stained glass designs yourself. Try coloring book pages or stained glass templates. Set the glass panels on top of the paper, making sure to match them up with the original tracings. If you will be using glue to make the leading and paint, coat the glass panels with clear, acrylic sealer. This will give the glue something to stick to. You can do this right over the paper. You'll be working on this project over the course of 2 to 3 days, so set up your workstation some place that won't get in the way. Purchase a bottle of black glass paint leading from the craft store. Apply the leading straight onto the glass from the bottle's nozzle. Start from the left side if you are right-handed, and vice versa if you are left-handed; this way, you won't smear your work. Make sure that the lines connect, or the paint will bleed when you apply it.  If you don't want to use glass paint, use black puffy paint or black dimensional paint instead.  Make your own puffy paint by mix 1 teaspoon of black acrylic paint into an 8-ounce (240-mL) bottle of white school glue. This is vital, regardless of the type of media you used: glass paint leading, puffy paint, or glue. If the outlines are still wet, then the next part won't work. Some paint needs longer to dry. Check the label on your bottle of paint if you are not sure. Purchase bottles of glass paint from the craft store; choose the type that comes with a nozzle. Squeeze the paint into each space of your design. Make sure that the paint fills the spaces between the leading completely. You may have to spread it with the nozzle.  Mix your own glass paint by mixing clear school glue with acrylic paint. Use 1 to 2 drops of acrylic paint to 1 tablespoon of glue.  You can use stained glass filler for this step. It is thinner and more fluid than other types of glass paint. It tends to be translucent. Glass paint comes in different finishes. Translucent will look the most realistic, but you can try matte, opaque, or sparkly. Apply your first color to 1 side of the space, and your second color to the other side. Swirl them together towards the middle with a brush. The glue-and-acrylic paint mixture may dry faster, but you will need to wait at least 24 hours if you used real glass paint. Keep in mind that some brands also include a curing time, so double-check the label for complete drying and curing instructions. If you notice any gaps in your paint, wait until the paint dries, then fill them in with a permanent  marker in a matching color. Once the paint has dried completely and is no longer tacky, put the panels back into the frame; make sure that the painted side is facing out. If the paint still feels tacky, it is not completely dry; wait a few more days for it to finish drying and curing. If you used glue and paint for your lamp, seal the panels with clear, acrylic spray paint first.

Summary:
Choose a paneled glass lamp shade. Take apart the lamp shade. Spray paint the frame, if desired. Clean the glass panels with water and rubbing alcohol. Trace your panels onto a sheet of paper, then create your design. Replace the panels on the paper. Outline your design with glass paint leading. Let your traced design dry for at least 6 to 8 hours. Fill the spaces in your design with glass paint. Swirl 2 colors together if you want a marbled look. Let the paint dry for at least 24 hours. Reassemble the lamp.