looking for lampshade  

Target, surprisingly enough....
Target, surprisingly enough. For the past few years they've carried nice-looking shades in drum shapes and other styles appropriate for vintage lamps. I've seen linen textured ones and other fabrics and finishes. I've bought a few and they've held up nicely.
Before I discovered these, I spent around $85 apiece for two custom shades from some online place where you could specify the top and bottom diameters and the height of the shade. I had looked all over for shades and couldn't find any nice drum types anywhere so I bit the bullet and ordered these. They were nice but within a year or two the edge trim started to come unglued. That's about when I happened to go down the lampshade aisle and Target and started kicking myself (though in all fairness, maybe they didn't have nice shades when I was actually looking).
Prices are in the $15-25 range. Also, if you don't see anything you like the first time you go, wait a month or two and go back. Their inventory seems to change pretty frequently.

I've had this site bookmarked for ages:
though I've never purchased anything from them. There's also JUSTSHADES, if you're in or around NYC.
LAMPSPLUS:
http://www.lampsplus.com/Products/lamp-shades/Style_Contemporary/

Thanks for the suggestions
Should I give up looking for vintage shades? I live in NY and we have everything here but I still can?t find anything. Am I missing some places?

There's always Ebay
I assume you're looking for a small simple drum shade? You need to determine the ideal circumference & height (taking into account the height of the harp you'll need to add), then search Ebay for "drum shade".

And there's always...
IKEA?

.
I would give up on vintage. Often soiled and the heat generated by the bulbs
weakened most fabrics? I have some vintage shades that are nice but one
recently dropped like a hoop skirt to its table surface.
Nice lamps! And i pass so many lamp stores in NYC and the burbs.
I've stopped in on a few over the years. They do seem to have a good
selection of shades. You would need to take in your lamps and have a shade
fit in the shop. Proportions. Vintage would limit your choices.

I hadn't grasped that the lamps are a pair.
If you need TWO matching shades, in just the right size, you'd spend a lifetime shopping for vintage. Abandon hope, buy new.

Buy new...
As someone suggested give Target a try, and if someday you come across a vintage shade well you can always trade.
😀

I have that exact lamp (the...
I have that exact lamp (the first one)! And I have been struggling to find just the right shade for it, too.
Do you know anything about it? Manufacture, date, etc? I got mine at a garage sale and they knew nothing about it.

skip the vintage
I agree with whoever said to skip vintage shades. The glued parts are usually dried out and will fall apart five minutes after you own the shade. Plus they are usually yellowed or even browned, sometimes speckled from foxing. I've looked at zillions of old lampshades at many auctions over the years and have yet to see any that I would pay money for.
I got my custom shades from http://www.lampshadeshop.com . I do not recommend them. Too expensive for mediocre quality.
IKEA has a few shades that are ok but they don't have the spider tops that go on harps. Harps and spiders are the best set-up because you can get any height harp to go with whatever lamp you have, giving you lots more room for adjustment. IKEA shades have spokes that attach to a ring that fits around the base of the socket. The height isn't adjustable. If the shade happens to be right for your lamp, you still have to get a plastic adapter ring to fit between the socket and the ring on the shade and in my experience this doesn't always work. Their shades work best on their lamps.
I think Scan Furniture imported teak bottle lamps through the early 90s, probably from Denmark but maybe other places. Scan had stores in the DC/Maryland area. I know the Baltimore store closed a few years ago. I have a tall, slim teak bottle lamp that I love---got a pair at auction for $22 and sold the other. That was years ago--wouldn't happen now!

Adam, If you live in NYC, go ...
Adam, If you live in NYC, go to Oriental Lamp Shade Co.(The name is deceiving) There is one on Lex and one on West 79th (right next to a decent Goodwill Thrift Store and the legendary Dublin House) I have shaded countless lamps there.
Bring one of the lamps with you and you can "try on" as many shades as you like.
They are very knowledgeable and have an excellent selection. At the very least, you can decide on the size, shape and material of the shade you want and then source it elsewhere.
as they are not cheap.
http://orientallampshade.com/

Yes I have an idea.
The inventor of the swing arm lamp was Walter Von Nessen.
Go to nessenlighting.com You will find a nice shade.

Scan Furniture
The store in Va. Beach recently went out of business also...