These are cost effective and easy to create yourself. I recommend purchasing a heavier set wine glasses so they will not break or tip as easily. You can find the heavier glasses at craft stores or at the dollar store. The battery operated lights can also be found at the dollar store, a local pharmacy or department store.
To create your shade, you can either purchase them online or create them yourself. What you will need is 8 1/2" x 11" sheets of vellum paper (one sheet per shade), glue pen, decorative scissors and any other accessories you want to add to your shade such as glitter, ribbon, photos, rhinestones, pearls, etc. You can find a wide variety of printed vellum paper and accessories at your local craft store or online.
Once you have all of the materials, I recommend using a shade template online to trace onto the vellum paper. Cut out the vellum paper shade, place glue on one edge and overlap with the other edge to form the shade. Once the glue has dried, add any other designs and accessories to the shade.
Once the night is over, either hand out the wine glasses as favors or keep them for yourself to enjoy your favorite glass of wine with your new husband or wife!! :)