I actually did something similar on my Twilight Sparkle cosplay! I ran a set of battery powered LEDs through my wig, and hid the switch in my dress where it was still accessible. I molded the horn itself with model magic, and made sections of hot glue around which the lights were compacted, and they did indeed show through.
It wasn't so great during the day time, but at night, it worked wonders! The glue didn't want to stick to the clay all that much either, but it worked well enough in the end.
Good luck, hope this helps! Please tell me if you figure anything more effective out too.