k, here's what I'd reccommend.

First off, its pointless to have more than one actual light inside the lamp, really. Yes, in an ultra-realistic render, you might want more, but it shouldn't be too big a difference for what you want. So, just make a single point light, and stick it in the middle of the lamp. And make it a bit on the more diffuse end, than on the sharp end.
Then model a lightbulb. Doesn't have to be much, really. We're going to make that glow instead. When you go to glow intensity, hit that button off to the right and assign a ramp to it - make it really intense at the core, drop quickly, and maintain a low level throughout. Also, if this is a house lamp, make the light slightly yellow - stark white is unsettling.
About the shade itself - If the inside is black, you're going to have problems with the thing appearing to be lit, wether it is or not. The lighter the color is, the better it'll show up. Try lightening the inside color. If, on the other hand, your lampshade is composed of planes, you're going to have to extrude faces so it actually has thickness (which may solve some of your other illumination problems, as well).
As for the dusty-air bit... Well, I've never messed with a lightfog, so I have no idea what would happen. But seems to me you could just throw a bumch of particles with a really long lifespan into the general area. But don't pack them too densely....

All I can think of at the moment....