Breathing just about any dust is bad, but it's said that the horn may contain some microbes that can give one a rough time if they decide to party in the lungs.
First, I'd get some dressing (something with lots of lanolin, very popular is stuff made for animal hooves like the product "Hooflex") on the horn and let it adjust to the new environment for a while, like a couple of weeks. That should help relieve stress coused by drying out in Reno.
I've found that the horn can be worked in much the same way as wood, using sandpaper and fine files. Be careful using files near cracks. Go slowly, it may be easier to remove material than you think.
For any but the coarsest grits, I wet-sand with the dressing. It keeps the fine dust down and you can see what going on better as well.
I actually use Alberto V05 hair product for the dressing, but if you're in a dry area, some of the speciality products or pure lanolin may be more effective.
Many like to leave horn grips at 400 or 600 grit, for more of a matte finish, which is a little grippier. The surface will look grey unless it dressed. It's not too hard to get a full polish on the horn by hand, though. Just go to finer grits and finish with some sort of rubbing compound and a piece of leather or the back of the sandpaper.
Good luck, maybe test things out on a karda or chakma handle first.
Oh yeah, it does have a fine grain like wood.