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Initially, I decided to run the wire through the pipe as you see in the picture below (No strain relief at the exit of the lamp. More about that later). However, I had read a lot of warnings on the Internet about the potential of the pipe wearing through the wire, which would be unsafe. Since this lamp was for my son, I did not want to take the chance of this happening.
I decided to run the wire though some clear tubing, and run them both through the pipe, which would protect the wire. I also added a strain relief to secure the wire at the exit of the lamp, which would have been a major wear point without the strain relief.
A note about the strain relief; I had purchased one at the start of this project (from HD) but it did not seem to thread well into the pipe. The hole in the grommet was also a bit too large for the lamp wire so I decided to not use it at first because I did not think it would work. I ended up buying another strain relief from Lowes, which threaded better onto the pipe fitting. I wrapped some electrical tape around the lamp wire to fatten it up so the strain relief could actually grab onto it. It was a smart decision and the right decision.
So, after I first pulled the wire though the tube (which was not easy) and pulled the tube/wire into the pipe as I assembled the lamp, I realized I did not put the strain relief grommet and nut on the lamp cord (There is no way to put it on after without cutting the plug off). I had to pull everything apart and start over. Don't forget this part or you will have to take it all apart again.
OK, now I had the cord in the tubing, the grommet and nut on the cord, so I was ready to start assembling the lamp. It is not easy to run the tubing throught he pipe and fitting so pull the tubing through as you assemble each piece. It will be impossible to get the tubing to bend through the fittings if you assemble too much at once.