Promotional plush hats are okay, but you know what's better? An actual HELMET! Made out of ACTUAL STEEL! Imagine wearing THAT to the midnight release of Skyrim!
Now, I'm no blacksmith, but how hard/expensive would it be to make a wearable http://wiki.teamfortress.com/wiki/Tamrielic_Relic? No idea what material the horns would be made out of.
I say make a leather one it would be significantly easier to make and shape. All you need is the right leather, horns, the appropriate crafting items and some good guidance on how to properly leathercraft a helmet. It could be pretty fun project if you have the time and patience.