We use and recommend Helmar Premium Craft Glue. It is very fast drying, gets tacky quickly and easily rolls into balls when you get it on your fingers or the lining of the lampshade.
Watch this useful tutorial on how to best roll the edges of your lampshades using Helmar Craft Glue.
Available in 50ml and 125ml bottles. A 50ml bottle is enough to make two 20cm diameter lampshades, or one 30cm / 40cm lampshade. It is easy to operate in smaller rings.
The 125ml bottle is a little easier to handle as the bottle itself is more flexible. Some people find the 50ml bottle gives them a sore hand from excessive squeezing. This can be avoided by holding the bottle upside-down for a few seconds, waiting for the glue to reach the nib.