I recently made my first couple of sheaths - I used a table saw to cut the kydex to size, but only because it was handy. I could have scored and snapped it with any knife.
The first one I made, I used a towel, a drill, a hammer, a screw, an oven, and some sandpaper. I heated up the kydex on a cookie sheet, placed it on the towel, placed the knife in the center of the kydex, and folded the towel over. Then I put a book on top of it, and sat on the book while I waited for it to cool. After it cooled, I used a hair dryer to heat up the area around the handle and shape it by hand, and some sandpaper to smooth things out. A drill to make the holes for the eyelets, and a hammer and screw to flare the eyelets, and you've got a sheath.
It doesn't perfectly show the outline of the knife, or look super professional, but it holds well.
After that one, I made a sheath press with a $5 foam camping pad from walmart, some plywood scraps, and a can of spray adhesive. I fastened the press with some big quick-clamps that I already owned. Some extra tools like a belt sander and a dremel multi-tool will make the smoothing part of the operation easier, but aren't absolutely necessary.
