Paper or fabric lampshade? Dust first, do not soak
Switch off and allow the lamp to cool; some paper and fabric shades are designed for dusting only.
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IKEA lists cleaning with a duster for both the GULLSUDARE paper shade and the MYRHULT fabric shade. Water or scrubbing could damage delicate shades; never wet electrical fittings. Check your own product before choosing any wet-clean method.