for the horns, I made a test run for DragonCon (for funsies) that held up pretty well.
Find a malleable head band (I went to Joanne's Fabric and got a craftfoam princess crown, and trimmed it down) and build from that. soft, preferably, because even though mine was foam - it still gave me a headache after a while.
for the horns, I used a foam heart - cut in half. sanded a little bit and shaped with a dremel. coated in modpodge, as foam will melt when spraypainted.
I mounted the horns to the princess crown with screw pins, and they worked REALLY well. threw some model magic on there while watching television, let it dry - spray painted it with metallic krylon; done.
theyre not accurate, and done in a hurry on a whim - but the construction test proved them to be stable and durable!
best of luck!