Finished three myself and haven't quite finished my fourth. My fifth is a screw tip horn that is finished and has a nicely turned plug and tip.
I started with a raw horn and if it's in the rough (unpolished), I used a drawknife (or spokeshave) to hog off the extra material fast. You can also use a farrier's file (blacksmith who does horseshoes) to hog off material. Use complete strokes so as to avoid "chopping" marks that will have to be removed later.
Some digression first. To stabilize the horn so you can work on it, you can make a rough plug that fits into it. The plug is clamped in the vise so you have both hands free to hold the drawknife or file.
When the horn is thin enough (or before you start losing that ivory color that is great for scrimshawing), switch to a smaller knife or even a scraper to remove all the rough nicks made by the drawknife or file. Then switch to files to sculpt it. (Check out Jim Dresslar's book on the engraved powder horn). I don't like sandpaper to finish and have used ashes and water. You can also use steel wool to polish the horn.
You're going to have to cut off the tip of the horn and drill it through. But before you do, it's a good idea to get a coat hanger. Bend it and insert it into the opening. Then lay it alongside to see how far you have to drill to get to the interior. Cut the tip and then drill. Make sure of your angle as you don't want to drill through. Afterwards, you may have to sculpt the horn such that it has a gradual taper. Figure out whether you want a brass powder spout (like on a flask) or a primative horn. I used the former for my first three and my fourth is a more primative French-Indian style horn.
Now, the plug. Two methods. First is to trace the exterior on a piece of pine and then cut out the wood. Scribe a line at least 1/4" from the bottom (or interior portion of the plug) and then saw about 1/8" along that line. You then chisel away or rasp off that wood and work at it until the plug fits the horn. The top is then rounded off the best you can. The other method calls for reshaping the horn such that is (almost) perfectly round. You have to make a tapered plug (on a lathe) first that will mold the horn. At Conner Prairie our instructor (Roland Cadle) had a rice cooker filled with old (and probably rancid) oil. We heated our horns in it and while it was still hot, inserted it into the horn. The horn was allowed to cool and it then took the shape of the plug. You can also use hot water if you don't want to use water but do it outside so wifey doesn't scream at you. The reshaped horn was popular among horners (as they called the horn makers) since they could use uniformedly made plugs. The plugs themselves were lathe turned and required final fitting (remember the interior of the horn wasn't uniform and they had to scrape either plug or horn to make it fit). After the plug was fitted, it was turned (on a lathe) to create any fancy design.
Using either style (reshaped horn or otherwise), glue it on (I cheat and use silicon). I also drill tiny holes along side and "pin" the plug with round toothpicks that are glued in. This keeps the plug from falling out. You cut and stain them after the glue is dried and they look quite nice (check out the horn of Marion Hammer made by Ron Ehlert at the National Firearms Museum).
I should mention that plugs came in various styles and there are numerous books to draw from. Some are simple and others quite elaborate. Some officers in Roger's Rangers were known to have compasses placed in the plug so they could tell directions. Other horns had a removable handle that facilitated refilling of the horn.
I also like to scrimshaw my horns. You can either do a modern design or copy an existing horn. This is done by slowly scratching with a knife and then applying India Ink. Rub with 0000 steel wool and the picture/your name/whatever stands out in contrast to the white horn. I put a map of the march to Fort Pitt on my horn.