Hi Bob,
Look at Tandy/Leather Factory or Jantz Knife Supply, they have everything you need, plus I highly recommend AL Stohlmann's book on hand stitching leather.
I use 8-9 ounce tooling leather for most sheaths.
I have a 5 stitch per inch stitch spacer, an adjustable groover, freehand groover, an edge beveler, a CS Osbourne awl, and some big harness needles, waxed linen thread, Fiebings leather dyes, Montana Pitch Blend, and I think that is about it!
Oh and pliers to pull the needle through, a piece of leather to push the needle is helpful, and a stitching pony if you are going to do more than a few sheaths.
Chuck Burrows of Wild Rose Leather fame has a great video which I highly recommend. It is packed full of knowledge and is well worth the money.
Good luck and post some pictures when you are done