Before you get started you should gather your materials. you're going to need a marker, paper, stuffing, scissors, a needle, thread, and material. What kind of material you use doesn't matter, though different kinds will yield different results. Thicker fabrics like polar fleece will result in chunkier horns, while thinner fabrics like t-shirt material will make more pointed horns. Material that is furry, like cuddle fleece, will hide the thread better, but have a more "messy" look to it. Whatever you choose, it helps if your materials has some stretch to it.
As for your thread, you can use any color you want. I prefer my thread to blend in, but some people use thick, bright thread to make it stand out and add an accent color.
This is mine. As you can see it's been the victim of a cat attack, but it still works jut fine.