I believe it would be more accurate to say that rams are dangerous, and not necessarily the horns. Rams are known to always be aggressive, and all should apply the doctrine of "never turn your back on a ram."
And back to Jacobs - I have three Jacob/Painted Desert hair cross ewes, and am...
I found a good video on youtube about this.
Rope Halter
I used 3-ply nylon rope, because the ends can be melted, and it felt very soft. My sheep are small, so I used 3/8 inch. It held well... They weren't too used to it though :P