To create a beautiful bedroom, you want all elements of your room to work together from the bed itself, to the bedding, flooring and curtains. There must be no element which detracts from the whole scene.
On the other hand, you don’t want everything to be matching otherwise your room will look over-coordinated like those eighties rooms where every item had the same floral design from the wall paper border to the waste paper bin. However, each element should have some kind of link to another. So, as far as lamp shades and bedding are concerned, if you have a beautiful bedding set in oyster colored silk with gold embroidery for example it does no harm to have small candle lamp shades also in oyster colored silk, perhaps with gold colored fringing.
Given that most bedding sets don’t come with matching or coordinating lamp shades you may have to source your own. Whatever fabric your bedding is made from you should be able to get something similar in a plain lampshade. (If your bedding has a number of colors, select the background color).
Once you have your plain lamp shade you can then choose trimming to match. Take a sample from your bedding (such as a pillow sham) and your lamp shade to the haberdashery department of a large department store. There you will finding a plethora of braid, fringing, beading and other trimming sold by the yard. You can choose something in the same color as the main fabric of the shade or in a contrasting color from the bedding or from another item in the room. Attach the trimming using a glue gun to give a neat finish.
A bed looks good with matching bedside tables and lamps either side. The tables can either be small chests of drawers in a wood to match the bed itself (or other furniture in the room) or small tables covered in cloths. Try to keep your small tables clear of clutter so that you get the full effect of your coordinated lamps and bedding.