Model Magic would be perfect. It's very light weight and easily moldable. It's also porous so it would take to whatever glue you use to adhere them. I would also recommend a basic foam. it could be carved and then finished with a coat of paper mache, fabric, or even model magic. The model magic coating would be a better choice than solid MM if your horns will be more than a couple inches thick. You don't want to make anything too thick with model magic or is pretty much stays soft in the middle forever. This isn't really an issue, however, unless you hit them on something pretty hard. model magic doesn't dry rock solid. It feels like a tight ball of craft foam when dry. Therefore it will bounce back when it gets squished. However, if it is not dry in the center, it won't bounce back as much. I'm building a moogle with model magic in a similar fashion. The base is styrofoam, I added MM to mold the face, and then covered it in fleece to make it soft.
I also used MM for the head of a staff.
Can you tell that I love Model Magic?
Hope this helps