At the time I got my first "collector series" set back in 1988, I only had DC transformers (MRC Trainpower 6200). I too ran into the "horn sounding all the time" issue, but seeing as the locomotive (Lionel Pullmor-motored SD40) didn't have a bell, I just threw the polarity switch and the loco continued to run as before with its E-unit, but without the horn (which wasn't that much of a loss).
So, what was I doing "wrong"?