I found the grey fabric at Jo-anns. It is a duck cloth and I was able to get 2 and 1/2 yards for just $12 (it was 40% off). I had just enough scraps to use in another project!
I found these shades at Hancock Fabrics - regular price $10 each. They have adhesive on them so that you can attach fabric to them to make your own custom shades. It was incredibly easy to do.
Once I got the grey fabric on the shades, I trimmed the top and bottoms of the shade with white ribbon. So now the boys bathroom sconce is done too!