I started out with a commercially made stitching pony but found that I needed to make a few modifications to it. I found that the wing nut was too small to get it to tighten down the clamp without hurting my fingers so I drilled the holes in the clamp larger and inserted a larger bolt which allowed a larger wing nut and a more comfortable grip. While I was at it I installed a washer, lock washer, and a nut on the inside of the clamp to keep the bolt from turning in the hole. That's in addition to the washer that was on the outside of the clamp. I tried to stitch without a stitching pony but I found that having one makes life so much easier when it comes to stitching up a sheath.
A hint on the order of stitching. First glue and sew in the belt loop. (If you glue and stitch the body before doing the belt loop you'll not do it again-and you needn't ask how I know). That brings me to another point. Save your pattern until the sheath is finished. I make my belt loops as a separate piece from the sheath body instead of integral to it. I then glue up the sheath and the welt, whether a pouch sheath or one with a separate front and back, and then sand the edges even. With even edges I can then lay out the stitching groove with a groover and a stitching wheel to lay out where I want the stitches. I then pre-punch the stitching holes. If during pre-punching you get a hole off you can use your awl to straighten out your hole and then use a tooling spoon to smooth over the old hole.
What I do to pre-punch the stitching holes is my drill press. I made up a jig that's nothing more that a short board that has a small hole drilled in the middle-it's small to keep the leather from being pushed down into the hole-and another hole at the edge. The hole in the middle is used for when I can lay the leather flat, as in stitching the belt loop in and the one on the edge is used for when the sheath cannot be laid flat, like when the loop prevents it. I then chuck up a curtain needle, any straight needle larger needle that's larger gauge that you're sewing needle will do. I do not drill the needle through the leather. I don't even plug my press in. I use the cam to push the needle through the leather at the spots marked out by the stitching wheel. I then go back to my stitching pony (I've already used the above operation to lay out, glue and stitch the belt loop or inlay onto the sheath)
Remember that you will need more than twice the circumference of the sheath to stitch with the saddle makers stitch so be generous with the thread. I use a waxed nylon thread. Waxed linen thread has been around for ages and probably works just as well. Whatever, rub the thread that you cut on a block of bee's wax. Thread a stitching needle on one end of the thread then take the needle and pass it through the thread in the long section, not the tail, and pull it snug. Repeat on the other end of the thread. Clamp your work into your stitching pony, sit with the bar under your thighs and you ready to stitch. (You might want to make sure to TV controller is within reach-just a thought) Now you're ready to stitch.
Some like to start out with a back stitch. To do that count down four or five holes a run the needle through and even out the thread. Then run the thread back up to the end and then back down over that thread and continue around. Others feel that the thread is solid and doesn't need any insurance against the thread breaking and unraveling and they will just start at the first hole. I feel that the waxed nylon is pretty strong and I do the latter. When you do reach the other end of the sheath then you will want to back stitch as you will be dealing with loose ends so you will want to stitch back over four or five holes to make sure that the thread doesn't come out. Some will make a knot or glue the ends of the thread on the finished end of the stitching but I haven't had any thread come out for me. Also, develop a pattern, either right then left or left then right. Always snug up the first stitch before taking the second stitch or you may end up with a situation where you split your thread. If your thread should break you can snip it close to the leather and start out with a fresh loop of thread. Just to back up the work about four or five holes and stitch back over the old thread.