craftgrrl | How-to Question: Photo Lampshades

I know some people are getting annoyed with how-to questions, but a girlfriend of mine and I were trying to figure out how to make those photographic lampshades. You know, the ones that are squarish and each side is a black and white photo and then the sides are laced up with lanyard-esque material? We found this pen at a rubber stamping store that will transfer a photocopied image onto paper, but the woman at the store couldn't tell us if it would work on vellum. I'm not even sure vellum is the right material, actually, because I seem to recall the panels feeling thicker, like they'd been shellacked in some way. I checked online but could only find instructions for ones made with images photocopied directly onto the vellum.

Anyone got any good ideas?

Thanks!