how to make this in Solidworks?
I downloaded the file. You'll want to edit your first sketch before proceeding. I've attached two images, and a sample file.
Your spline has ~22 control points in it. When working with splines, you want to use as few control points as possible.
I've redrawn your spline with two points, and the curvature is improved.
You could add the 30° cone into the Base Revolve feature, but it is fine as a separate feature as well.
I'd hold off until much later in the model to start adding fillets though. They can be added early if they are rather important to the overall shape, but it is best to apply them at the end.
This model has a single pyramid sticking out of it. It looks like all of the pyramids are a bit different in their size and height.
You can either model each pyramid, or you can configure a curve driven pattern with variables to control the shape. I'd model each pyramid.
Go through the model and see if it makes sense. It is just a loft feature. The toughest part is making sure the lofts are perpendicular to the profile.
After the remaining ten pyramids are added, do a circular pattern to get the entire lampshade.
Everyone will have a different way to make this shape, hopefully a few more answers will arrive to give you different options.