Baking clay won't be good, those horns are gigantic and you need them to be as light as possible.
I, personally, am really terrible at wire sculpting. But if you are good at sculpting with wire you can do wire, cover it in masking tape, and then paper mache over it. If you use a few layers of paper mache it will be really light as well as sturdy. Then you can sand them down. You probably want to paper mache over your cardboard helmet part too to strengthen it and smooth it out.