This would be a finial.
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The piece that holds the lampshade on the lamp is called a "lamp harp." It typically consists of a vertical rod with a curved top to support the lampshade. This harp is attached to the lamp base and allows for the lampshade to be easily changed or adjusted.
Those are called harps. They hold lamp shades in place and are secured onto the lamp base before the light bulb is screwed in.
The flexible wire in a lamp is called the filament. the word means 'thread-like', and it comes from the fact that you need a particularly thin section of wire in order to get the metal to incandesce (glow) at relatively low wattages.
The piece that screws the lamp shade onto the lamp is called a finial. It is typically a decorative knob that screws onto the lamp's harp to secure the shade in place.
If you mean the screw on part that holds the lamp shade on the it's called a Finial. If you mean the stand that hooks on right below the socket I've heard it called a harp.
To make a volcano out of a lamp shade, you can create the shape of the volcano using paper mache or clay on the lamp shade. Once the shape is created, paint it to resemble a volcano and add details like rocks or lava for a more realistic look. Place a light source inside the lamp shade to create a glowing effect for the volcano.