The Art of Craftsmanship has an excellent, detailed, step-by-step video on designing and building wet-molded leather knife sheaths with integral welts.
In addition to actually building three different sheaths in the video, he outlines a 21 Step procedure for sheaths in general.
Here are the 21 Steps (modified from the 18 shown at the start of the video). Note that these are his steps - you might develop your own modified list (e.g. making a template on card first, adding a leather tooling step prior to dyeing the leather, using a pricking iron rather than a drillpress for the stitching holes, adding a resist and antiquing gel, etc.)
21 Steps for Making a Knife Sheath - The Art of Craftsmanship
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1 Trace the knife on leather
2 measure space for welt
3 Cut out leather including belt loop
4 Trace and cut out welt
5 Mark off belt loop attachment spot
6 Bevel edges
7 Dye leather (outside and both sides of the loop and inside top)
8 Finish belt loop and top edges
9 Glue down belt loop
10 Mark and drill holes for loop and stitch
11 Cut 3 grooves down inside of fold to ease foldover
12 Glue in the welt and sheath edges
13 Clean welt edge on grinder
14 Mark and drill holes and stitch
15 Dye welt edge and burnish
16 Wet mold
17 Finish dye (touchups)
18 Add decorative groove with stitching groover
19 Oil
20 Finish edges with burnisher and edge kote
21 Carnuba cream and buff
Finally, here are links to other videos in which he makes the knives featured in this sheath video.
Knife Talk build along (5 video series): https://www.youtube.com/playlist?list=PLg3eVGW_EdJhHAlgnyWSUSL72RcSzTf7n
Bone handle knife: https://youtu.be/rcxANzLtY2A
Railroad Spike Knife: https://youtu.be/bPV8QbwKhd0
