Actually I would suggest doing them in foam.
Here is a down and dirty way of doing it that I read about back in the day. From the book Halloween by Joanne O'Sullivan
You'll need:
two 1 1/4-foot long by approx. 2-inch wide pieces of upholstery foam
two pieces of 18-gauge wire, long enough to run the length of each horn, plus about 3"
white thread (doesn't state how much, check out direction #6
white acrylic patching cement (for patching roofs. "Rooves"?)
white acrylic paint
paintbrush
clear acrylic sealer (spray)
large-eye needle
elastic cord
1.* You can make the horns longer or wider depending on the size of your head and the type of horn you're making.*
2. Round off both ends of the foam pieces.
3. Taper one of of each foam piece approximately 6 inches from the end. You will now have two matching cone-shaped pieces of foam.
4. Insert a piece of wire lenghtwise through the center of each cone. Leave about 3" of wire sticking out of the wide bottom of each cone.
5. Bend the wire to form the cones in the shape you want.
6. Starting at the wide end of one cone, wrap thread tightly around the foam, forming jointed sections. Continue til you reach the tip of the cone. Repeat with the second cone, trying to keep your wrapping pattern as similiar to the first horn as possible.
7. Bend the wire extensions at the base of each horn into small hooks.
8. Mix one part acrylic patching cement with two parts white acrylic paint. You can either paint the mixture on the horns with the paintbrush or dip the horns into the mixture.
9. Hang the horns to dry. If you dipped the horns, make sure there are no clumps of the paint mixture left on them.
10. Paint the horns with the white acrylic paint and hang them to dry a second time.
11. Spray clear acrylic sealer over the horns and allow them to dry.
12. Use the needle to poke large holes in the inside top of each horn. Thread elastic cord through the hole and stretch it around your head to figure out how long it should be to hold the horns snugly on your head.
13. Once the horns are strung, position them on your head.