it has been a while since i have used lightwave... but it is definitely do able...
first-
why are there so many polys?
i would make a low poly version and then hit the ole TAB key and watch it smooth out.this would have made the hole making process far easier.
second-
use the hell out of the extrude command. love it, cherish it, bring it to the prom. it is one heck of a powerful tool. in lightwave you should have direct manipulation to all of the poly's and that is a good thing... especially if you don't have all those polys to deal with...
third-
are you trying to make a completely working version of this horn? if yes then there are some considerations that you have to keep in mind. this would include but not be limited to wall thickness for printing. if this is the case what i would do is a modified version of the extrude... called the rail extrude.
in this method you make a spline in the shape of the horn. then place a circular poly at the start of the spline. the poly shouldn't have more then 8 sides... 6 would be cool but 8 might make you feel better. create a second poly slightly smaller then the first one that is at lease smaller then the first one equal to minimum wall distance.
rail extrude the first poly. select the second one- flip it's normals, and extrude it. now what you have is both the inner wall and the outer wall of the horn. once again i am a little buggy on lightwave. when i used it back in the day(5.5/5.6) as long as you were in the same modeler file it was considered 1 object. if this is true carry on.
next delete the polys used to generate the inner wall and the outer wall. this is where you need to stitch the 2 together... slect 4 points and hit P this will make a poly . do that all the way around both the beginning and the end. this shouldn't be hard because you only have 6 or 8 points on both polys.
if you need to flare out the ends or whatnot select those polys and use the scale tool to scale them out.
lastly-
hit the TAB key and everything should smooth out. you should also be able to control this smooth using some sort of setting in lightwave...
this is the basics... there is also inserting finger buttons and whatever you do on this kind of horn...
chris