If you need some bulky shapes for your costume but don't want them to be super heavy then it is easy to use foam as a base! Just cut out some (leftover) pieces of foam into the desired shape stick it all together with tape and wrap the thing with painters
You can find this foam in a roll at Wal-Mart. Trace the patterns 3 times For each horn in the foam. Cut them and glue them together. You can use the spray glue or the same I use to cover the horns which in my case is.