Martha Stewart, but I modified it, especially by making my own base instead of buying one.
1. The base of the cornucopia is paper mache! It's cheap and super flexible to whatever size and shape of cornucopia you want. Just make the initial shape out of newspaper and tape in shape. Make sure you put a barrier between the form and the paper mache so you can pull it out fairly easily when it's dry. I just used several layers of dry, non-taped down newspaper as my barrier and it worked great.
You definitely DO NOT need 2 yards like Martha says. Maybe she made a giant cornucopia, but I only used less than 1/2 a yard. I did do some patchwork with the burlap, but it doesn't really matter because it will all be covered up (except in the inside)
4. Cover the burlap with a continuous spiral of raffia. Keep the spiral (a small handful of raffia at a time works the best) going from the very top spire of the cornucopia. I discovered that I liked the look better if all of the raffia wasn't immediately stuck tight, so after I wrapped the whole shape, I went back over and added some raffia that splayed out a little. Everything was hot glued.