Tim - no special set up. Just put it between centers like a piece of wood.
Don't know what you are tying to do but have you looked at some of the Tutorials I did using a pen mandrel? I use a U shaped tool a lot. I don't have time but will try and post some tools tomorrow. I don't turn any thing, horn wise, between centers, don't know why I would. I have mounted horns by the butt to turn them round or for some special application, Horn inside butt and cups come to mind but then again most of them are done on a mandrel like you would use to turn a band on after they are heated, all other work is done with files and rasps.
I turn everything for a horn, tips, horn antler, Pewter, butts, horn itself if necessary, bands at about 600RPMs or so, no more or less. I find this gives a good finish using different grades of Sandpaper and Steel Wool. I put wax, usually shoe polish on them and buff at the same time. If it is to shiny I bring it back with 0000. I do not like Shiny, see your face in them, horns
You need good stock to start with, if there are any cracks in the horn once you cut it there will be problems, delaminating, I'm sure you know that. Sharp is a given, as with any turning.
Tim