Lambs lose their horns very easily - one of the difficulties of producing show quality multi-horned sheep. Usually at that age it is just the outer cover of the horn which comes off, leaving the living core exposed - good blood supply so bleeds profusely. The core soon hardens up and the horn will continue to grow, although it will never be the same size as the pair. If the whole thing has torn out of the skull, the immediate danger is excessive bleeding and you need to look for the small artery which will be pumping, and pinch that hard for at least 5 mins. After that there is a danger of infection to the brain, so vet treatment is advisable. We have had only one which did that - he wore a pirates bandage for a while and lasted fine til 16 months then tasted great. It is worth mentioning here that clean (ish) cobwebs work well as a base for clot formation.
Lamb horns are fragile and shouldn't be used as handles, and they are easily caught in fencing or bumped against other sheep either in play or fights. Shearling horns, especially in multi-horned animals are still fairly delicate. Ewes and all older sheep should never be caught by their horns, but mature tups with only two horns can be if necessary - however, the best way to restrain a sheep is with a hand under the chin and either your leg or other hand against the body. Sheep have sensation in their horns and use them in a surprisingly tactile way, and do not like being dragged around by them.