Google tells me that your nozzle is likely 0.5mm in diameter. That should be able to print 0.7mm walls, which I've found to be pretty strong! Which slicer are you using? I had good luck with Slic3r and Cura, both of which should let you alter the extruded diameter (and therefore, wall thickness!)
Natural PLA is one of my favourites. I recently bought some good-quality stuff from Ultimaker, but so far I've only used their blue and flexible white (love it!) filaments - the Natural is still unopened on my shelf. It's next!
I'd love to see a photo of your unintentional LED lampshade!