I should add that finishing should look hard on such a prop: the tips of the horns are the same colour as the "ribs", and they seem to be polished and shinny. Besides, the collar and those things like fingers (on the back of the hand) are clearly hard enough to stand up unsustained, and they are the same colour as the rest of the bones.
I would do the collar as a single piece, making sure that your head fits through the opening. Once you put on the headpiece, your head should look impossibly big to go through the one-piece collar.
Detailing (such as adding shadows) should be done using an aerographer.
Here's a link to the page of one of the cosplayers whose wigs I've been the most fascinated about.
Go to "Finished costumes", and then browse around. The wigs that should be the most helpful for you should be the ones made for the following costumes, in the following order: Jinx, Windy, FrostFairie. On Jinx, she even included a link to the tutorial she made on making That wig.
BTW, she's a very active cosplayer here on Cosplay.com. Here's her profile: Sarcasm-Hime