Lets start with the plug. It should have one blade on it that is wider for the neutral. You want to connect that wire to outside of both bulb sockets, newer ones have a silver plated screw. The other, with the narrow blade is the hot. Run it to the copper screw at the switch. Then run wires from the 2 silver screws to the brass screws of the bulb socket.
The switch should switch power from the copper screw first to one silver one, and then the other. Most switches have a fourth position that connects both screws to light both bulbs.
If you don't have the wider and narrower blades, don't worry about it. It will still work, but if you change bulbs with the power on, the outside bulb base could be hot.
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