You can remove the steering cowling plastics first if you wish, though it doesnt matter if they come off first or after.
The 'horn cover' is actually the air bag module. To remove this there are two slots in the back of the steering wheel. Stick a screw driver in there and force it slightly one way to activate the clip. After doing so the airbag module should pop forward. Be very careful with this, I wouldn't drop it!
You will see a wire connecting to the airbag, undo this carefully.
Next unscrew the large nut in the centre, this is the nut you only unscrew until it is just about to reach the end of the thread, do not remove it fully. Then get hold of the steering wheel and pull it towards you, it normally takes a bit of force and its at this point you will be thankful for leaving the nut on!
Once the wheel is slack from its mounting remove the large centre nut full and while pulling the steering wheel off feed the airbag wire through.
The first time I did this on a C5 I was (luckily) replacing the comms2000 module. I took off the centre bolt and tugged at the wheel. It shot off, nearly hitting me in the face and it ripped off the plug from the airbag wire

Fortunately that is part of the comms2000 so it was no big deal. But lesson learnt
