Avoid leather - unless it's vegetable tanned, and water proofed. Most leathers have corrosive chemicals in them, and when wet, take a long time to dry out. Leather sheaths aren't kind to most carbon steels.
Nylon isn't so great either. The best scabbards for machetes were the Vietnam era molded vinyl government issue. Unfortunately, they don't always fit. A stiff kydex sheath has the disadvantage of not getting out of the way due to the inflexibility. I would try to find one or make it out of thin, dense rubber.
Of course, real machete users don't use a sheath, they just carry it all day long . . .