Start by cutting a big strip of bark. It needs to be 3 times wider than the blade and 4.5 times longer than the blade.
Then cut 2-3 thin strips of bark, cut them 3-5mm width. Trim the strips from lose moss and lose outer bark.
Bend the wide strip of bark and weave the thin strips around it. Continue until there's no more room and cut the end.
Here is a film showing how I weave the sheath.