I would use two, three, or more spot lights... one pointing up through the lamp shade to cast the shade's shadow, one or more pointing down pointing at the lamp shade itself. Unless the room is smokey, the cone itself wouldn't be visible... but if you want the cone, you've already got the right idea, but use another spot (or two)to illuminate it from the camera angle, and set the transparency min higher than transparency max, this will make it more transparent at the edges and more 'smokey in the middle. You can also try several cones stacked inside one another for a better smokey effect. You might want to look at Nerd's fog prop for hazy effects.