Making a decent, long-lasting sheath probably won't save you money. Reasons being:
Bare minimum, you'll need leather (decent thickness), needles, proper thread (I used waxed cotton from Tandy), and experience. Riveting is entirely optional if stitched correctly.
Leatherwork isn't really something you can jump into and expect to get right the first time. Especially if you want something better than your factory sheath. If you want something you're going to carry and be seriously happy with, it's gonna take quite a few practice pieces before you understand how to get what you're after and how to finish the leather in a way that's durable and pleasing.
I think I made half a dozen sheaths before I got the hang of it enough to actually be proud of my work.
Leather is easy to screw up, and it takes a lot of special (expensive) tools to get a lot of the effects and clean cuts/edges you see in a lot of the quality work.