BEFORE YOU ATTACH THE WIRE TO THE SOCKET be sure you have attached in order the decorative washer, the harp and the nut to hold it in place. The base of the socket screws over the rod and is held in place with a set screw.
Intermediate Woodturning Project
Table Lamp - page 7
finishing up the wiring and seeing the finished project
There is a sort of wiggling dance as you pull the wire down and get the socket in place and attach the cover that snaps into position. The harp just fits into the cradle and you have a lamp.
A shot in the shop with the finish drying.
One with a better background and ready for a shade
Finally a picture of the lamp in my daughter's house with the shade on.