My horn won't work. I've replaced the fuse and the relay. The steering wheel clicks. So what do I do next?

most likely a failure in the horn contact under the steering wheel
there is a carbon button that is grounded oit on a brass insert in the base of the wheel

Check to make sure that horn is connected at the steering wheel.
Remove the portion of the wheel that you push to activate the horn
and reconnect the wire. If that doesn't work check connections at
the horn(s).

it could be the contacts inside the steering wheel. if they get dirty or corroded they won't make contact and that contact is what completes the circuit to sound the horn

on 1987 all you mentioned are on same fuse #11 located in fuse box below steering wheel 3rd row 3rd fuse from left next to either a blank space if you do not have power windows,or next to silver circuit breaker if you do have power windows.

Do you get a click when you press the button? The relay should be audibly clicking if it's working.
If it is clicking then I'd check the horn itself, might be bad or have loose connection. If no clicking sound at all then I'd suspect bad relay or fuse (if it has a dedicated one), also possibly bad switch.

Your horn contact in the steering assembly probably uses what is called a 'slip-ring' type contact and the 'ring' which is part of the steering wheel itself may be contaminated or the stationary contact, which uses low-pressure spring material, is either worn or the spring has grown weak. You will have to gain access to the inside of the steering wheel center section to check this.
Also, unless you have actually electrically tested the horn relay, I would check for a relay with the same part number (should be stamped into the case) and temporarily swap them. Your security system may employ a separate relay to sound the horn when locking or unlocking.

LOOK UNDER THE LOWER AIR DEFLECTOR FROM BELOW THE RADIATOR. IF YOU HOT WIRE CAR HORN AND IT WORKS.YOU HAVE TO REPLACE THE WHOLE AIRBAG IN STEERING WITH HORN CONTROL BUTTONS.YOU NEED TO DISABLE AIRBAG IN STEERING WHEEL WHEN REPLACING AIRBAG AND HORN CONTROL BUTTON PAD.JUST TURN OFF RADIO FIRST, THEN DISCONNECT REMOVE THE NEGATIVE BATTERY CABLE.WAIT 20 MINUTES BEFORE WORKING ON AIRBAG AND HORN PAD IN THE STEERING WHEEL.

I am assuming you have checked the Fuse Box under the hood for the Horn Fuse and / or the Horn Relay and made sure both are good?

You can always try the steps outlined in this video to replace the horn pad. to see if this is your issue if you have exhausted all of your other resources.

Or You can try these steps to further diagnose your issues:

The horn relay on ZX2's is located underneath the dashboard on the drivers side. There are several relays located there - identify the horn relay by the "clicking" sound it makes when the horn is pressed. The likelyhood that you have a bad relay is minimal. Start by checking the horn fuse (the fuse box is located under the dash on the driver side). Next, check the relay. If the relay is making a clicking noise, it is probably OK. The next thing to check is the horn itself. it is located on the passenger side of the vehicle, up underneath the front bumber. Most instructions say to remove the bumber cover to get to the horn, but this is not neccesary. In my experience with Escort horn problems, the problem has been with the horn "switch", a wafer thin piece of plastic that lies between the steering wheel cover and the airbag assembly. Below are instructions for replacement of this switch - don't be intimidted by the procedure - it is not difficult.

You cannot buy a horn switch at a dealer - they tell you that the horn switch is part of the airbag assembly, which cost $450 plus. Understandably, Ford doesn't want people "messing around" with airbags. Go to a junk yard - you can eazily find and remove the horn switch from an Escort who's airbags have already deployed. I bought two of them for $5. Identify and remove the junkyard horn switch by reading step 7 below. This is an eazy fix if you follow these instructions. Should take about 10 minutes. I replaced my "stuck" 97 Escort horn switch as follows...
1) Disconnect negative battery cable, wait for at least 1/2 hour for residual power discharge before proceeding to net step (IMPORTANT!). This will disable the airbag. Neglecting this step could cause serious injury or death!
2) Remove two 10mm bolts directly behind the steering wheel - one on left, one on right. These secure the airbag unit.
3) carefully lift the airbag unit out of the steering wheel.
4) remove two small star-screws at bottom of airbag unit using star end screw driver - the horn wires enter the airbag unit next to these screws
5) pry the airbag cover (this is the front part of the steering wheel cover with the horn picture on it) off of the plastic tabs of the airbag unit, on the left & right sides - should come off very eazily.
6) now you can lift the airbag cover up (there are three rivets that continue to hold the top portion of the cover in place)
7) the horn switch, which is covered by a thin layer of dark foam, is a very thin plastic pad with two wires coming out (same wires as step 4). You can see wafer thin copper strips inside the plastic. The switch is held in place by three small plastic tabs. Remove the switch and disconnect the wires at the red connector inside the steering wheel.
8) replace horn switch with junkyard switch
9) re-assembly is the reverse of the removal.
This procedure should apply to 97 through 2002 Escorts, including the ZX2. Hope this helps someone save some money.

Start by having someone press the horn while you feel the relay with your finger. If the relay clicks when the horn is pressed then the switch is working properly and your problem is between the relay and horn assembly.

simple circuit, but can be hard if problem is switch in steering wheel. First check fuse and relay at fuse box. relay should click when horn button on wheel is pushed. If relay doesn't click, either button or relay is bad. If relay clicks, test for voltage at horn. You can use a simple test light available at the auto parts store if you don't have a voltmeter. If there is voltage at the horn, replace horn.
If relay does not click, replace relay to see if that fixes your problem. If new relay doesn't fix, you have a bad switch in the steering wheel or possibly bad wiring. cannot help you with switch as it's different on every car. any questions--let me know.