Epoxy is probably a better choice, but I've used CA glue forever with horn nocks. If you get the cheap, thin stuff it actually floods into the horn fibres as well, which gives the most amazing bond, provided the fit is just right. Epoxy is great if you're not confident on the fit though.
I tried getting a pair of nocks off a bow recently, and they'd been glued on with some horrible cheap CA and I ended up having to cut them off, and drill the wood out.