Horned lizards in captivity are usually burmated (a type of hibernation for reptiles) for the winter due to the inability to provide their main insect which is the stinging Harvester ant. Ants hibernate for the winter and the lizards would starve if they did not. It is illegal to ship Harvester queens so you can't raise your own colony unless you live in a state where you can dig one up. Their diet should be comprised of 80-90% ants and very little of tiny pin crickets, other very small invertebrates and some plant material such as berries. Horned lizards are a specialty feeder and difficult to keep in captivity. They are designed by nature to feed on ants and can't survive on a substitute insect as they are not able to digest most. They are very unforgiving of husbandry mistakes.
Before burnmation, your horned lizard should have excellent fat reserves and you will need to study up on how to lower his temperature and gradually "put him to sleep for the winter."
I would recommend if you already have the reptile, that you rush to google care for it. If you do not already have one - you might want to reconsider getting one as a pet unless you have a lot of reptile experience. They are not a pet for the beginner (I mean no offense).
Self - Reptile Hobbyist (lizards, snakes and turtles) 37 yr. and counting.