First off here is the reference:
Mild spoilers but the headband is meant to be seen on Maou's headpiece, so I didn't take any effort to try and blend them with the wig, in fact I purposefully chose a nice look headband.
First step is to cut out the profile of the horn from plastic. Once this is done you can glue it to the headband. Remember to cut another profile that runs perpendicular to the piece glued down to ensure a uniform height on the horn.
Filled the horns with Model Magic because I had it on hand, but expanding foam, tin foil, or scrap paper would work just as well. Model Magic tends to shrink so take that for what it's worth as a clay.
Placed Apoxie Sculpt on the base of the horn to reinforce it.
Coat the outside of the Model Magic with Apoxie Sculpt (they're both white unfortunately so it's hard to tell) to make a hard shell. Sculpt in any horn lines you would like for texture.
After letting it cure I did some light sanding to make it smooth and painted it a gloss black. The build took an afternoon total to accomplish, so I hope people find it useful!