Do the lights animate and dance around, or would you be okay with simple illuminated horns?
For simple illumination, you could do a few things- LED's in the base or EL wire along the length are both easy options.
For the construction of horns that let enough light through to be convincing, I'm not as sure. Hopefully somebody else has input on that- maybe you could form some "milk" plastic with a heat gun?
I did it! Prince Robot IV is a success! Give me some internet love and watch the videos- Robot DJ
, Dancing Robot