I have a couple little capers I am getting ready to finish up, they have sheeps horn, the first time I have used it.  

But I am not sure how to finish them up.

Sand to 600 then mineral oil?  Same finish as wood?  

How have you experienced gurus done it?

It depends on the surface texture. If the rough has been ground away and it's all smooth, just wax it. I dont take any pains to treat Sheep horn with anything. I might wax it but I dont want to get the wax into the rough areas. It makes a mess. It served the Sheep well as is so I figure it most likely dont need much.