I haven't tried flattening a horn, but my limited experience with rounding them indicates that you will be much happier with oil than with water - a water-formed horn doesn't tend to retain its shape unless there is a wooden plug to hold it, whereas an oil-formed horn will hold its shape unless heated again.
Get yourself a fry-daddy, enough lard to fill it, and a candy thermometer. Because the lard solidifies when cold, it is easy to move the pot around and store it when not in use.