Hi mate, they would be two different grades and types of leather, the sheath your probably going to require 2.5 - 3mm. Little leather bags probably 1mm or less.
Linen thread graded 18/3 for the sheath, dependant on the construction probably 25/3 for the leather pouches.
Saddlers needles are best for the sheath (they are not very sharp), for finer leathers you can use glovers needles (be aware they are sharp), but saddlers could be used for these as well.
For leather in small quantities I am not overly sure to be honest, Brisa sells leather in small quantities, but it is expensive. You could try phoning LePrevo telling them what your needs are and asking if they have any 3mm offcuts that would be of use to you.
There are other things that you will want, probably an overstitch wheel and an awl at the least. I would go for 5 to an inch (you don't need to have an overstitch wheel it just makes life easier).