Wow, that sounds cool, never personally done it, but I did create horns and wings...

So what I can give you what I would do...

I would go to Michaels (the best store EVER) find the green foam thing they use to set plants/flower decorations on... get a solid cylindrical or triangular one, carve it to the shape you like
On the devil's horns, making ridges and dents…I would make the same for the wings.
Since I needed the horn to be smooth I then got some gesso (what one uses to cover canvases to reuse them.. )  and covered the "creation"
Wait for it to dry
Paint it, since it's is a burnt surface I would paint it black with a little brown,
To make it more dramatic I would even add some gel blood from cinema secret ()

Not that is my 2 sense…

Best of luck ;p