Start with vegetable-tanned
(also known as saddle-skirt) leather. I picked mine up at a local Tandy Leather
. Get 5/7-weight leather (that is, between 5/64" and 7/64" thick). Thicker is OK, though you'll get more shrinkage (less soak-time may help that). Thinner won't harden as quickly, will be brittle and won't hold a shape very well.
You'll also need paint suitable for leather (fabric paint usually works).