I would assume you are talking about either a screw tip or an applied tip horn.
To do that, you take a horn tip and drill it and then mount it onto a lathe and cut your desired design into it. NOTE: Sharp chisels really are a good thing to use. Dull chisels are a pain in the neck and don't do a good job.
Horns that you see that do not have a screw tip or an applied tip that look like they are turned are the result of some very skilled filing.
Hope this helps.
John