You should duplicate the curve in Edit mode. Move the new section down to where you want it to be. Then select the end control point of the the original section, and the beginning control point of the new section and the press F to join them.
Edit:
Make your circle. Get into Edit mode. Select two control handles and press X to delete them. Select segment.
Then, move your control points in Z to get the proper thread you want(like a bolt). Pay special attention to the direction the arrowheads along the curve are pointing That is the way that your curve will lead your lamp. If you are spiraling up, make the control point with the arrowhead pointing to it your highest control point.
Then using Numpad 1 and Numpad 3 to get the proper view, adjust the control handles so that they are parallel with the slope of your curve. Be sure to use Ortho view.
Select all the control points. Press Shift D to duplicate them. Move the copies down to the proper place. Select the bottom control point of the upper section with the RMB, and the top control point of the lower section with Shift-RMB. Then press F to join them.
Now comes the cool part.
Select all the control points again. Press Shift D to duplicate them. Move the copies down to the proper place. You will notice that this time, you copied twice as many control points.
Select the bottom control point of the upper section with the RMB, and the top control point of the lower section with Shift-RMB. Then press F to join them.
Select all the control points again. Press Shift D to duplicate them. Move the copies down to the proper place. You will notice that this time, you copied four times as many control points as you did originally.
Select the bottom control point of the upper section with the RMB, and the top control point of the lower section with Shift-RMB. Then press F to join them.
Each time you do this, you double the number of loops you make at once. As Richard Marklew says, it only takes a few minutes.
Then move your lamp to the first control point and parent the curve to the lamp.
Here is what mine looked like. spiral bezier lamp test.blend (302 KB)