if you don't already have a copy, i would recommend this book:
http://www.trackofthewolf.com/Categories/PartDetail.aspx/267/5/BOOK-R18CPH
Recreating the 18th Century Powder Horn, By Scott and Cathy Sibley.
it costs about twenty bucks, and is well worth it.
if you decide to get the horn hot in order to make it round, you may want to consider the purchase of an inexpensive Fry-Daddy type deep fryer (i got mine at WalMart, due to a scarcity of convenient yard sales or flea markets) I use veggie oil, although lard will also work, or so I am given to understand. set the frier for about 350 degrees farenheit, and dunk the horn in (drill the hole for the pouring spout first - you
don't want a bubble of trapped air) ... dunk the horn in for about ten to fifteen seconds, pull it out and see if it's soft. if it bends easily (wear gloves for this part, of course) then you can put your forming plug in the back of the horn and it will keep that shape when the horn cools and the plug is removed. if it doesn't bend, try again for another ten to fifteen seconds and so on...
I have tried boiling the horn in water, but this didn't work at all well for me.
some other thoughts: horn smells really bad if you get it hot, or if you work it wityh any sort of power tool: like burning hair (which it is).
for the sake of your interpersonal relationships, do this outside. have a fire extinguisher handy.
the Sibley's book has a section about making base plugs, and I'm pretty sure that Horner75 has a tutorial on this site. his work is really nice, and he is an excellent fellow.
by way of fair warning, once you've made a horn, you have started down a path that will not be cured by any twelve step program.
hope this helps!