1. Make a back-up file of any default horns on a locomotive before trying to put your's on.
2. Go to a video you recorded that has a horn that you like. And then trim the video to just the horn part that you want.
-At this point, you still can have the audio and video part, you do not need just the audio yet.
3. Now use a video converter (or audio converter) and convert that file of the horn into .wav format.
Tip: For me, it was easier to create the sections on horns (start, loop, and end) in Windows Movie Maker 2.6 (It allows you to import audio when the newer one requires you to have an image/video in the video to import audio.) When you publish your horn in that, the file saves it as .wma (Windows Media Audio). Then convert your three files into .wav format as stated in number 3.

4. Once you have converted the files into .wav format, rename them to the locomotive you are trying to add a custom horn.

5. Once you have the files renamed, converted; go into the audio section of that locomotive.
For me because I was doing the SD70ACe: Assets\RSC\SD70Pack02\Audio\RailVehicles\Diesel\SD70ACe\Cab
IMPORTANT: Make sure your name of the three files will match when you edit your Horn PROXYXML File.
6. Go into the file called [Locomotive Name] Horn.proxyxml and open it in a text editor.

7. When your in the file, you will find 3 lines that say the file name for the horn.

8. On those lines, change the file extension to .wav, make sure your files match the ones listed on that. Once the both match each file. Go ahead and save the file and close out of it.
9. Then go into the Railworks Directory and look for a program called serz.
10. Put the windows side by side and drag over the .proxyxml file onto the program.

11. Once you drag over that file, make sure the file above the .proxyxml, the .proxybin is at the time that your computer is close to, can be a few minutes off. That way you know it updated.
12. With the old horn files, in .dav format. You can put those for a backup if you want to switch back. Or just leave them in the same place.
13. It will take some time on editing back on the audio files so they sound right.
14. Then you should have your custom horn in-game.
Programs I Used
Realplayer Trimmer
Realplayer Converter
Windows Movie Maker 2.6
Notepad++