I have done a couple of small powderhorns from pronghorn sheaths. The secret is to buy a large bottle of cyanoacrylate glue (CA or superglue), and soak it down until such time as it stops absorbing the glue.
It breaks down rapidly in sunlight, I have NEVER found a shed pronghorn sheath when hunting antelope. Also, keep it well above range of a curious dog. They cannot help themselves from chewing them up. Do NOT ask me how I know.
Yeah, I've only found one, and it was all flaked up and in really rough shape. I suppose that's why they shed them every year. Do they have the flaky consistency when you cut them up to make things out of them?
Even fresh they seem to shred like fiberglass that was starved of the correct amount of epoxy. But, like many different materials, if stabilized, they would work just fine.
For knife scales, I think I would want to soak it in water for a few days before using a fine tooth Japanese pull saw to cut out blanks. I would then press it flat between two boards. Then, after it has dried a week or so, I would pull it out, epoxy it down to a micarta or wood. Once it was bonded to the wood, I would saturate with the CA glue repeatedly before sanding/finishing. But remember, this is all hypothetical...I have not done this and I can not advise you of what the final results may or may not be.