We made one 30 yrs ago out of a foam cone we shaped into a spiral horn then sprayed it with mother of pearl and sprinkled glitter on it. Glued it to a white nylon strip and attached it to the halter.
We used to do pony rides and had the option to dress up as a unicorn for parties.
Then, like Beowolf says, we used fake flowers to make garlands, tulle, and that rough paper I think its call raffia ??? but we used the really wide stuff and created a breast plate out of it. All of which can be purchased at Michaels.
This will be a fun project!