well
Incandescents give off around 60 to 80% more heat
so if it says 40w max then normally you can run an 80w cfl with no issues as long as its wiring will do the job
125w should be ok but you might be pushing your luck
I know I`ve used 105w cfl`s in "60w" fittings before no problems ceramic fittings are best and like £1 each