S.B.
Crayola model magic may work (I've found it at Michael's). It's very easy to sculpt - you could make two long ropes and wind them around each other making a horn. I have colored it with paint and marker. It dries pretty quickly. It's very light weight and you can hot glue it to the costume or a head band.
Felt may work too. You could sew or glue it in the shape you want.