No, but I use frosted white glass paint to modify clear lamps to use in frosted applications which works fine as long as you don't manhandle them & knock the paint off.
I would think that 1) the shrink tube wouldn't survive being baked that way for very long, and 2) you'd lose way too much light - quite different than putting a transparent color sleeve over the lamp as was commonly done back in the day w/red, blue, green etc.
John