I've used it, it's strange stuff to turn, I'm not a pro, but I'm ashamed to say I ended up sanding it down to the finish, as without perfectly sharp tools and good technique, it behaves as a sort of a mixture between turning acrylic and an odd mesh of something like horse hair. Being a natural material, the consistency varies from piece to piece and you may be lucky and get a more acrylic natured bit, or unlucky and get a "hairy" bit, where if you struggle, you could try my final resort of using sandpaper.
The thing to watch out for is that it can have hair fine cracks in it, they tend to only show up as you get down to the final thickness, and slowly open up as the horn cools from the friction of cutting to the cool of the workshop. So if I can give any advice, it'd be to turn it with very light cuts and don't let it heat up.
It stuck well to the brass insert fine using 5 minute epoxy, but I didn't need to use any other glue on it, so I can't say for certain, but it's a protein (keratin) based material so CA glue should work on it just as well as it does on your nails and fingers!
All the best,
Nic.