I needed my own horns and wings for a certain purple dragon [winkwinknudgenudge], and because he sports orange ones, I had to make my own. (Otherwise I'd have taken the lazy route and snagged some off Etsy.) If you also need a custom color, or are stuck with no time to order your own - OR you just want to save money by DIY'ing (together they cost less than $10 in materials), read on!
The horns will be made of clay, so grab some of your favorite brand in your color of choice. I used polymer clay I had left over from those infamous carrot jockey necklaces, and because I made really large horns I used two small squares of it. I think you could almost get by with half that amount, though, since most costume horns are quite small.
Start by kneading your clay to soften it:
Next form it into a roundish lump with a flat bottom like this:
Now start twisting and pulling the clay upward into a spiral:
Keep going, and if you make larger horns like mine you'll want to angle them back a bit, too, until you end up with something like this:
Smaller horns can just stick straight up, of course - it's up to you - but I think a little curve makes them look more natural. You also don't have to make the spiral twisty pattern; I just thought it looked cool. (Even if it does look like a crescent roll.)
I later went back and trimmed my horns down by about a third, so I wouldn't recommend making your own horns quite this big; they're a tad too heavy and unwieldy.
[UPDATE: Some commenters have pointed out you can use a wad of tin foil inside the horn to cut down on the weight and the amount of clay. Great tip! Thanks, guys!]
I propped the horns up on each other to keep them from drooping in the oven:
Looks like two earthworms kissing. :)
Once the horns were baked I realized I'd made them too big, so I had John cut them down with a hack saw. I also asked him to cut at an angle so they'd point back further on my head. You shouldn't have that problem, though, so once your clay is baked all that's left to do is drill holes in the bases of your horns to feed an elastic strap through:
You can see the right horn chipped a little from drilling, so be careful and drill slowly.
[Edit: Or, if you don't have a drill, poke holes in your clay before baking. It will deform the horns a bit, but you should be able to reshape them again before popping them in the oven.]
This strap is a little wider than necessary, but it's what I had on hand. I've also seen people use shoe laces or non-stretchy cord for the band - just tie knots on either side of each horn to keep them in place. If you have it, though, elastic really is the most secure/comfortable.
Now here's a little trick for hiding the elastic band when you wear your new horns: grab a bit of fabric you can tie around your head like a headband (stretchy t-shirt fabric is ideal), cut two tiny holes, and then push your horns through:
When you're done, it should look something like this:
And you can really see how large my horns are here, so again, scale down your own creations if you want a smaller, subtler look. For what it's worth, though, this size is perfectly comfortable to wear - so much so that I actually forgot I had them on the other day, and ended up wearing them most of the afternoon. :D
I think I'm going to leave you with that mental image and break this post into two parts, since the wings will require a lot more pictures. Check back tonight for part 2!