As popular as tasseled, J-rock pony tails and faerie wings, horns are a common sight at Pagan festivals. You can buy them as headbands, a knit hat, or wrap long hair to suit. Below are some resources for parents to consider.
This first one results in spiraled horns. I like these as they will work with fine hair without hairspray or teasing of the hair (this means no knots, hence they're easier to brush and wash out without causing your child to scream and cry)
This is more of a Japanese style horn or cat ear. It involves teasing and hairspray, but results in a bigger horn.
For a blog-based tutorial on typical wrapped hair horns, try Elegant Poupee's site.