Can I use my 220 volt lamps in the US? What do I need to change? Will the wire burn? Are individual converters very expensive? Secondly are 220v bulbs available in the US?

Wait a minute.

The U.S. is 240V, 60 Hz. Single phase that is split into two 120V "Lines"
The real question is what are you putting the lamps into?

If you want to use those bulbs in a standard lighting Branch Circuit, (120v, 15 or 20 amp circuit) you might not get the yield you expect even if the base of the bulb fits into the socket of the lamp.

Yes you can use your lamp in U.S
No you can't... not unless you change the bulbs for 110v bulbs AND change the plus or use adapters BOTH. The bulb bases generally will accept the US Bulbs.

A 220v bulb will be very dim on 110v. Throw them out and replace them.

Let's not forget that incandescent lamps or "bulbs" are being phased or regulated out of production every year...
It's all CFL and LED from here on out.