The lady who was sewing a leather purse was not only using a sewing machine designed for leather but she was also by all probability using split leather that was thinner than anything that one would use to make a sheath from, except for inlays. Also a machine stitch is not all that durable. Start one thread going and it will zip apart. A good saddle stitch will hold even if the thread breaks somewhere along the line.
Personally I cut the groove front and back with a groover and lay out the holes in the groove with a stitching wheel. I then use a drapery needle chucked up in my drill press to punch the holes in the leather. I'm not drilling the needle through the drill's just pushing the needle through. I have a board with a hole near the edge clamped to the press table to allow the glued up sheath to lay flat so I don't get the holes at an angle. If I do get a hole wrong I straighten it out with an awl and work out the wrong hole with a carving spoon. (Any place the sells leather working tools should carry them) I then clamp the sheath up in my stitching pony (a wonderful contraption), wax my thread, thread my needles, tune into something mindless on the TV, and start working my way around the sheath in a saddle stitch. If you know the saddle stitch you won't need to know another.
Another thing that you could do is learn to lace the sheath. Punching holes in thicker leather sheaths can be a bit of a problem though but with the right tools lacing can add a bit of class to the sheath.
Doug