If you are wanting to learn a new skill then its worth investing in some tools and leather but I doubt it will be cheaper than buying one. Leather is cheaper when you buy more and tools are pretty cheap but not if you but them all in one go.
EBay can be good for smaller bits of leather. Your looking for 3mm veg tan. Linen thread and needles for sewing. Then all the other tools just make for a better finish like edge bevel, stitch wheel, stitch groover etc.
Makes you wonder how little the leather workers on here actually charge for their work when you consider materials cost.
Definitely a skill worth learning. Then in future when you lose a sheath you can just knock one up your self, then it works out cheaper when you have the tools.