Horrors sent to hell return and attack a random province, and they hang around turn to turn. I'm pretty sure that they can then be charmed, enslaved, or hellbound.
I had run tests a long time ago, even if you enslave them, you can't keep them for long as Redfrog said. At best they stay in your army a few turns, then vanish. It's not worth the wish+gor cost.
I haven't tried Enslave Mind on them. I have tried wishing for them--no need for a GOR but they don't last very long. I have tried enslaving them with tartarian chains for absolutely zero success.
Note, also, that I have had no luck with Phoenix Pyre against them. Never once has it fired even though it always should have. Conceivably this is due to using seraphs but I see no reason that should matter.
Note that it doesn't matter if the horror came due to a wish or simply a horror attack--I've had the guy wishing for horrors hit with a random one with exactly the same result.