I agree with Tim Crosby. Bug spray on a rag on the horn's outside. It is like folks buying elaborate anti-squirrel feeders......just shoot the squirrels! It's easier.
I did some research on bugs that eat the horns. It appears that carpet beetles are the main culprits. They especially like to lay eggs inside horns that are left open. Freezing for three days in the fridge, or pesticides can work to kill them.
I have implemented a few things that hopefully will keep mine free of holes for a long time.
1) I take the powder out after use, and store the horns in the house. My house is pretty bug-free.
2) I wipe the outside with bug killer as Tim said. I also lightly spray inside with a powder based (not oil based) bug spray like Bengal.
3) I once saw a bug on the table by my horn after coming inside from shooting. I stuck the horn in the freezer (inside a plastic bag) for three days. No problems.
4) The online research says to store items that beetles like to eat in a Tupperware style container so bugs cannot get it. If you have few horns, wipe them with bug spray and put them in a container. Cannot imagine a problem after that.
Just my 2 cents worth, and many are a lot smarter than I am. Best wishes, Marc