1) I used crafts glue (erikeeper) but any glue that sets hard will do, hot glue, epoxy..
2) haha I just used those setting sprays for artwork
3) blue one yes, finnfoam as we call it, it's very sturdy, used as insulation and stuff in buildings. ask hardware stores, they just sell it in over 2m sized huge ass blocks though, might be a bit overkill for just a pair of horns. my sisters bf works at the construction site and had snatched some excess pieces, I got mine from him~ but yeah, basically just use what you can find. : )
oh, and the least, for the clay I suggest you use fimo airlight, that stuff weighs practically nothing