I always hate using the vacuum hose to dust the lampshades. I found this tip about using a lint roller instead. It works well, but you use about 2 sheet for each shade.
It you really need to clean a lampshade you can wash it. Read the care instructions first, but here are the directions for washing a lampshade.
Fill a bathtub or large laundry sink with a warm water solution containing liquid dishwashing soap. Dip the shade in and out of the solution, making sure that the shade is completely covered, and then rinse it in lukewarm water, following the same dipping procedure. Rinse until the water is clear. Take the shade outside and swing it vigorously in a circle to get ride of excess moisture, and then dry it quickly in the sun or with an electric fan or hair dryer.