This instructable will show you how to turn garden-variety cheese wax into very convincing devil's horns that stick to your head quite well, without any supplemental adhesives. I came up with this a few years ago, more or less by accident, and have been using it every year since when I sit out on the porch handing out candy to the little ones. (You'd be amazed how many kids think they're real.)
And yes, I know the cheese costs more than ten cents. The individual wheels are actually around a buck a piece. However, the wax is waste, making it technically free, if you were going to buy the cheese anyway. So there.
Step 1: Materials
The materials are pretty straightforward. You'll need as many BabyBel cheese wheels as necessary to create the size of horns you want to make. (I generally find two wheels per horn is plenty, but YMMV.) A source of hot tap water is a nice addition if it's handy, but it's not required.
Step 2: Eat the Cheese
The first thing you'll need to do is open the wheels by pulling the tab on one side or the other (it doesn't matter which.) Set aside the wax shells in two equally sized groups, discard the 'strings', and eat the cheese.
Step 3: Work the Wax
Starting with one group of wax shells, collapse them together in your hands and knead them until they're warm and elastic enough to be workable. This is the part where the hot tap is handy - It only takes a few seconds of putting this wax under hot water for it to get very soft and flexible.
Once the wax is workable, shape it into a cone, then add a flat 'base' to the cone by using your fingers to pull wax away from the tip toward the round bottom. The base will help with adhesion, as it provides a larger surface area.
Step 4: Position Them on Your Head and Go Freak Out Some Kids!
This is the fun part: Mounting your horns! Make sure they're still nice and warm. Put them on your head in the appropriate spots (a friend or a mirror is extremely useful for this part), and hold them in place for ten or fifteen seconds to give the wax a chance to stick to your skin. That's it! I've had very good luck with these staying in place for an entire evening without falling off, but your success will depend on a lot of little variables, like how parallel the bottoms of the horns are to the force of gravity (more parallel is bad), whether you're in hot or cold weather, and whether you apply makeup.
Speaking of which, I'd recommend against putting makeup on underneath them, as they'll likely have trouble sticking. The makeup in the last photo was applied after the horns were in place, and even then, they sucked enough makeup under them through some sort of capillary action to partially defeat the stickiness. (The makeup did give them some nice color, however.)
For added effect, use a toothpick, fingernail, pencil, or other pointy object to carve ridges in the horns from the base toward the tip. If you do it right, they'll look really striking. (Sorry, but I ran out of time to show it here.) Also note that you could certainly do more than horns with this stuff. I've been thinking for years about giving myself a pox, but I never get home from the office with enough time to get that kind of thing ready before the kids start knocking on the door.
Have fun, and don't forget your glow sticks!