Well, I just got my horns all wired up (reproduction wiring harness, relay, etc.) and the first time I went to hit it, the same thing happened - they stayed on!
At least in my case, it wound up being the wire in the steering wheel being shorted under the horn ring (previous owners' sloppy work). On these horns, when you depress the horn ring on the wheel, you're actually completing the GROUND side of the loop, not the power - there's 12VDC at the horn relay at all times.
The horn relay can also stick, so if you can't find a short/ground in the steering wheel or elsewhere (real simple wiring to trace), a new relay is still available at the local auto parts for about $11.
Good luck!