Sheath making is a common curse for knife makers. You can sometimes find someone to make them for you or you can also buy them pre-made from Texas Knifemakers Supply.
Some of theirs are completely finished and others simply need to be stained and sealed. You can pick up leather dye form many places and there is usually a local store that has at least black dye. After staining I use a product called Leather Sheen to seal it. I've also heard of people mixing 50% water with 50% Mop and Glow to seal them.