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First off, of course I know Vikings didn't have horns on their helmets, but in Scandinavia it's common to use horn-helmets for silly goofy cartoons, and no-horn-helmets for serious Viking things.
Anyway, the transition from the Norse religion to Christianity was very gradual and fairly gentle compared to most other countries. For a very long time Scandinavians believed in both. To them the Christian cross looked like Thor's hammer when turned upside down, so they wore it like that as an amulet that provided both Jesus and Thor's protection.