My experience supports Rick. I tried the boiling water method with my first horn, only to come out with a very clean horn - well boiled and with just enough softness to be frustrating. As soon as it cooled, it returned to its original shape and, as though taunting me, steadfastly remained there. Then, following Horner75's advice, i got a 'fry daddy' (had to go to the local WalMart - nothing at flea markets came up) ... plonked down my hard earned, overtaxed, God- entrusted dollars and dropped by the local grocery store for some oil, which i'm still using. That was years ago- can't remember what the whole deal cost me, and i'm still using it, so i guess it was a good deal.
I heat the oil to about 360 or 375 Farenheit - many will tell you to go with a lower temp, but that's what works for me. You can always start low and if it doesn't work, increase your temp.
Some other notes:
i do this outside (the smell isn't very appealing)
wear heavy leather gloves which are loose enough so that you can snatch them off
wear a long sleeve shirt closed toe shoes and long pants
drill the hole for the plug before you shape the horn: you don't want to run the risk of trapping air in the horn
position your frydaddy on a stable platform: you DON'T want this to tip over
have the plug handy, so you can push it into the softened horn as soon as you can.
also, watch out for what looks like a milky, spore like substance coming out of the horn. if you see this, get your horn out of the oil immediately - you're about to delaminate and ruin the horn.
you can put the horn back into hot oil after you have partially shaped it, so if your first attempt doesn't really get you where you want to be, there's no sin in taking another pass at it.
here's a link to the Sibley's book,
Recreating the 18th Century Powder Horn
https://www.trackofthewolf.com/Categories/PartDetail.aspx/1330/1/BOOK-R18CPH
the fun part about horns is that, once you get a modest set of tools together, you can make them at a very low cost.
Good luck with your project!