Which kind do I need? If there isn't a huge difference for sheath making, cheaper would be nice

.
I'm over my head trying to get started with sheath making before Christmas. I hope it's just like making the actual knives, where I'll get it once I've assembled the proper tools and actually get to it.
You want to use a good, supple leather, vegetable tanned. The thickness of the leather can vary depending on the size of the knife. Dried out, rigid leather can crack after finishing, not a good thing.
There are tons of tools in leather making, but only a few are needful for the beginner.
Sharp, thin bladed knife;
Edger - rounds the edges of the leather;
Groover - cuts a shallow groove into the leather for decoration or stitch lines;
Needles - I like to use blunt, large eyed needles;
Mallet - I use a rawhide mallet. Can be purchased from most leatherworking outlets;
Awl - punching holes or marking;
Burnisher/boner - used for smoothing surfaces or edges;
Beeswax - lubes awls and punches so they don't stick in the leather;
Hole punches - I like the ones that come with removable points. The big ones that look like pliers with rotating heads tend to bend or not line up to cut well, IMO;
Leather anvil - I use a large chunk of polished granite. It provides a smooth surface that won't mark up your leather, and it provides weight to help with pounding. Stuff won't bounce around as much;
Cutting board - I prefer a plastic cutting board. Saves the points and edges of your tools, lasts longer than a wooden board;
There are lots of stitch hole punches, faster and IMO safer than punching holes in leather than an awl. They come in different sizes and with different numbers and shapes of tines. Some have one, I use a four-tine hole punch, and the tines sometimes have different shapes to make the stitching look different. Clear as mud? I suggest that you just get a simple 3 or 4-tined hole punch that makes medium sized holes.
Leather glue - a lot of people like to use regular old contact cement from the hardware store, seems to work well;
Straight edge - made of aluminum preferably so they won't rust and stain your leather. Long (three foot) and short (one foot);
Heavy scissors;
Clamps - I like to use those blue and yellow clamps with rubber pads on the jaws, I forget who makes them. I have two sizes, one size about a foot long, the jaws of which slide on a bar, and a smaller size that work sort of like vise grips with the release on the handle. Great for holding down stuff or clamping pieces of leather together while glueing.
That's all I can think of at the moment. There are always more things you can add as you get into more decorative stuff, but these things should help you make a very sturdy, if plain, sheath.
Hope it helps.
Andy