I was in the exact same predicament one year ago. I went to Tandy and bought a $40 kit with book, awls, needles, thread, stitch groover, stitch marking wheel, and some other stuff. It was expensive, but it got me started. It has EVERYTHING you need to make a sheath except leather, dye, contact cement, and finish.
After making two sheaths, I realized what other tools I needed and what tools I previously thought I needed, but didn;t need. Get the kit... it's basic but you'll learn alot from it.
These two are among the first sheaths I made:
The only thing extra that I bought not in the kit was cement, dye, finish, and some rivets ( a little riventing kit with different sizes and a setting anvil - about $6)