As SQ says, young sheep often pull off the out part of their horn, leaving the inner core behind. Sometimes this can bleed a fair amount, in which case some clean cobwebs will help it to clot. Then blue spray and anti-fly-strike as SQ said.
Much more dangerous is when the whole horn comes off, core and all, as this leaves a hole in the skull and tears an artery which will bleed profusely. 5 mins pressure is needed here until the bleeding stops, then a careful assessment of the severity. Obviously the brain is just under the skull so infection is a possibility. We had this happen to a Jacob tup hogg years ago - the vet showed us how to identify the artery and pinch it. The sheep was then given a wonderful, colourful bandage over that side of his head, and was called JimLad until he went off for slaughter a few months later.