Normally you could truck them - all the guys who compete in the regional showjumping truck their horses (and we're talking horses worth LOTS of money).
However - between May and (I think) Sept - there is a ban on trucking horses by the Dubai authorities.
I couldn´t tell you about costs or logstics, but I would recommend not to improvise and call a specilist. When moving horses between countries, many details can turn the adventure awry. You might try http://www.gallopmasters.co.ae/