Another way to get great looking horns is to buy the Don Post Darth Maul mask and cut the horns and use spirit gum to apply them to your head.

If you're using a bald cap you can attach the horns by using spirit gum. Otherwise, when you get your make up also get a can of Derma Wax (you get it at make-up costuming places).  This is a putty used in the theater to make some one's nose look broken or make warts, etc.. Rub a small amount of baby oil on your hands so that the wax won't stick to your fingers.  Apply it where the horns go by making small lumps.  Apply the black make up gently, then powder.  Gently brush off the excess powder.  Now stick in the horns, making sure they won't wiggle too much and then outline them in red.  No need to powder this step.  Lastly, apply make up to any other part of the head that can be seen like the neck, back of neck, etc..