I told my wife about my idea for a sheath and she told me that she had an old leather jacket that had been stained and was destined for the trash can. The jacket was made of fine, soft leather in a buckskin color. It was thin and pliable.
This is what I used, but it is easy to get cheap leather in a number of ways. You can buy a large old purse, suitcase, briefcase, jacket, pair of boots, shaving kit, or leather whatever at a garage sale, junk store, Goodwill, or wherever. Slice the leather from the rest of the lining, case, or whatever and use what you can.
I am even keeping my eyes out for a junk leather couch or chair that I can salvage leather from! Check dumpsters behind furniture store for a good chance at a score. Use your imagination!
I cut off the sleeve and carefully removed the lining. Try to keep the leather in the largest possible single piece. Watch seams, button holes, rivets, etc. I used a heavy pair of scissors to do the dirty work, but you may have to use a knife is your leather is heavier. If it is really heavy, you may have to put the leather on a board and use a utility knife. Be careful, that big, old Bowie isn't the only sharpie that can bring blood and leave your finger laying on the table while your hand follows you down the hall.