I've done several for myself and a few for others. Mostly as described above, but have a different method for the covering of the skull. After mounting it with screws to the board, I use layers of 1" foam padding, creating a nice shape and using staples to fasten that to the board. The shape I use is of a hard boiled egg cut in half the long way if you can imagine that. I then cover the foam with fabric, usually a satin or suede looking fabric from wal mart or a fabric store. The fabric is cut to cover around and behind the horns and then stretched and stapled just past the staples for the foam. I then use a braided rope also from a fabric outlet to make a border around the whole thing and the base of the horns. This covers the staples and the seams and is held in place by hot glue.
If you are interested or have any questions, I could take some pictures. If there were a few people interested, I could do a step by step how-to with some pics.
Some of mine are 15 years old and have had no problems with things comming apart, only dust.