Haven't made one myself, but here's a logical guess:
Take a piece of relatively thin horn from the back of a horn, the side that was once nearest the head. Cut the round section off, then make a lengthwise cut so that you have an open circle, like a rolled-up piece of paper. Boil this circle in water, dunk it in hot oil, or heat it carefully with a heat gun until the horn is pliable. Using gloves, unroll it partly or completely, depending on the pliability of the horn, being careful not to crack or split it. Put it into a vise with just enough pressure to keep it opened up (if it's completely flat you could put it between two boards and pile books on top of it. Let it cool, and then repeat the procedure as needed until you have a completely flat piece of horn. Draw out the pattern of comb you want onto the horn, and then using a jeweler's saw, cut out the comb. Use a file and some sandpaper to smooth out the edges, and you have your comb.
This just comes from making one or two horns, including one flattened one, so others may be more knowledgeable, but this should work well enough.
Show us the finished result!